Wealth-to-income ratio, government bond yields and financial stress in the Euro Area
AbstractI show that when the ratio of asset wealth to human wealth, wy , falls, investors become more exposed to idiosyncratic shocks and demand a higher government bond risk premium. Using data for the Euro Area as a whole and conditioning the forecasting ability of wy on the financial stress conditions, one is able to track better future time-variation in risk premium.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 19 (2012)
Issue (Month): 11 (July)
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- Fredj Jawadi & Ricardo M. Sousa, 2012.
"Structural Breaks and Nonlinearity in US and UK Public Debt,"
NIPE Working Papers
25/2012, NIPE - Universidade do Minho.
- Fredj Jawadi & Ricardo M. Sousa, 2013. "Structural breaks and nonlinearity in US and UK public debts," Applied Economics Letters, Taylor & Francis Journals, vol. 20(7), pages 653-657, May.
- Gnegne, Yacouba & Jawadi, Fredj, 2013. "Boundedness and nonlinearities in public debt dynamics: A TAR assessment," Economic Modelling, Elsevier, vol. 34(C), pages 154-160.
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