Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model

This paper analyses the main drivers of sovereign bond spreads in a globalised world. Specifically, we account for international spillovers of bond spreads by adding an additional driver, namely, financial markets, and allowing interactions across countries and markets. We contribute to the VAR lite...

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发表在:MAGKS - Joint Discussion Paper Series in Economics (Band 58-2014)
主要作者: Niehof, Britta
格式: 文件
语言:英语
出版: Philipps-Universität Marburg 2014
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