Advanced Search
MyIDEAS: Login

A yield spread perspective on the great financial crisis: Break-point test evidence

Contents:

Author Info

  • Guidolin, Massimo
  • Tam, Yu Man

Abstract

We use a simple partial adjustment econometric framework to investigate the effects of financial crises on the dynamic properties of yield spreads. We find that crises manifest themselves in the form of substantial disruptions revealed by changes in the persistence of the shocks to spreads as much as by in their unconditional mean levels. Formal breakpoint tests confirm that in the U.S. the Great Financial Crisis has been over approximately since the Spring of 2009 and provide a conservative dating centered around the August 2007–June 2009 dates. However, some yield spread series point to an end of the most serious disruptions as early as in December 2008. Some symptoms of an impending crisis re-appear instead in the second half of 2011. We also uncover evidence that the LSAP program implemented by the Fed in the U.S. residential mortgage market has been effective, in the sense that the risk premia in this market have been uniquely shielded from the disruptive effects of the crisis.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/pii/S1057521912000233
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 26 (2013)
Issue (Month): C ()
Pages: 18-39

as in new window
Handle: RePEc:eee:finana:v:26:y:2013:i:c:p:18-39

Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620166

Related research

Keywords: Yield spreads; Credit risk; Liquidity risk; Break-point tests; Partial adjustment models;

Other versions of this item:

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:26:y:2013:i:c:p:18-39. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.