A dynamic factor model with time-varying loadings for euro area bond markets during the debt crisis
The debt crisis in the euro area led to obvious changes in the structure of euro area bond markets. To model the process of disintegration that has taken place as a result of this crisis, this analysis uses a dynamic factor model with time-varying loadings and two factors. While some core countries load rather stably on one factor, this factor loses its impact on many peripheral countries over time. At least for some periods, countries that are affected by the debt crisis load highly on a second factor, especially Spain and Italy. Ireland, Portugal, and Greece, which all load highly on the second factor for some periods, show signs of decoupling at the current edge.
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- 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.
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- Carvalho, Carlos M. & Chang, Jeffrey & Lucas, Joseph E. & Nevins, Joseph R. & Wang, Quanli & West, Mike, 2008. "High-Dimensional Sparse Factor Modeling: Applications in Gene Expression Genomics," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1438-1456. Full references (including those not matched with items on IDEAS)
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