Dynamics of the European sovereign bonds and the identification of crisis periods
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DOI: 10.1007/s00181-019-01653-0
Abstract: We develop an empirical model of heterogeneous agents to study the dynamics of the European sovereign bonds market. Agents make use of different information from the CDS market and historical price movements of the sovereign… read more here.
Keywords: bonds identification; dynamics european; sovereign bonds; european sovereign ... See more keywords
Spillovers across European sovereign credit markets and role of surprise and uncertainty
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics"
DOI: 10.1080/00036846.2019.1659930
Abstract: ABSTRACT We identify the network structure of spillovers and time-varying spillover intensities across European sovereign credit markets proposing a novel Copula-Granger causality based structural vector auto-regressive (SVAR) approach. Via the proposed framework, we examine the… read more here.
Keywords: credit; surprise uncertainty; sovereign credit; across european ... See more keywords