Modeling Euro Area Bond Yields Using a Time-Varying Factor Model
In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coeffi cients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants in individual euro area countries using a time-varying model. Using the reduced form results, we show decoupling of periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent re-integration. In addition, by means of the structural analysis based on identification via sign restrictions, we present time varying impulse responses of bond yields to EA and US monetary policy shocks and to confidence shocks
Year of publication: |
2017
|
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Authors: | Adam, Tomas |
Other Persons: | Lo Duca, Marco (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Eurozone | Euro area | Schätzung | Estimation | Deutschland | Germany | Zinsstruktur | Yield curve | Öffentliche Anleihe | Public bond | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Anleihe | Bond | EU-Staaten | EU countries |
Saved in:
freely available
Extent: | 1 Online-Ressource (34 p) |
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Series: | ECB Working Paper ; No. 2012 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 3, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.2912220 [DOI] |
Classification: | C11 - Bayesian Analysis ; G01 - Financial Crises ; E58 - Central Banks and Their Policies |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012963728
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