Caporale, Guglielmo Maria; Girardi, Alessandro - 2011
VAR, or GVAR) using quarterly data for the EMU period suggests that euro-denominated government yields are strongly linked …This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of … other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global …