A dynamic factor model with time-varying loadings for euro area bond markets during the debt crisis
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References listed on IDEAS
- Christian Aßmann & Jens Boysen-Hogrefe, 2012.
"Determinants of government bond spreads in the euro area: in good times as in bad,"
Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 39(3), pages 341-356, August.
- Aßmann, Christian & Boysen-Hogrefe, Jens, 2009. "Determinants of government bond spreads in the Euro Area: in good times as in bad," Kiel Working Papers 1548, Kiel Institute for the World Economy (IfW).
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- Bernoth, Kerstin & Erdogan, Burcu, 2010. "Sovereign bond yield spreads: a time-varying coefficient approach," Discussion Papers 289, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
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- Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lo Duca, Marco & Adam, Tomáš, 2017. "Modeling euro area bond yields using a time-varying factor model," Working Paper Series 2012, European Central Bank.
- António Afonso & João Tovar Jalles, 2017. "Quantitative Easing and Sovereign Yield Spreads: Euro-Area Time-Varying Evidence," Working Papers REM 2017/20, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Antonakakis, Nikolaos, 2012. "Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades," MPRA Paper 43013, University Library of Munich, Germany.
More about this item
KeywordsBond markets; Euro crisis; Dynamic factor models; Time-varying loadings; Bayesian estimation;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
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