Sovereign Bond Yields Spreads Spillovers in the EMU

Antonio Afonso and Mina Kazemi

No 2018/52, Working Papers REM from ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa

Abstract: We study the sovereign bond market co-movements and spillovers within 10 EMU countries, the so-called "periphery" and "core" countries, during the period 1999:01 to 2016:07. Implementing Generalized Methods for Moments (GMM) within a panel setting and bivariate VAR analysis, we find that an increase in the lagged spreads of Italian and Austrian bonds negatively affect the spreads of the whole sample while in the increase in the Irish, Portuguese, Belgian and French lagged yields increased the overall spreads. In the VAR analysis we find that spillover effects within the sample are mostly positive.

Keywords: sovereign yields spreads; spillovers; euro area; panel data (search for similar items in EconPapers)
JEL-codes: C23 E52 G10 (search for similar items in EconPapers)
Date: 2018-10
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:ise:remwps:wp0522018

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