El-Shagi, Makram; Schweinitz, Gregor von - Institut für Wirtschaftsforschung Halle (IWH) - 2015
In the present paper, we build a bivariate semiparametric dynamic panel model to repro-duce the joint dynamics of sovereign ratings and government bond yields. While the individual equations resemble Pesaran-type cointegration models, we allow for different long-run relationships in both...