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The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990–2013. The results confirm the existence of an inverse relationship between sovereign bond yields, sovereign risk and...
Persistent link: https://www.econbiz.de/10011906151
The objective of this paper is to classify a group of EMU countries according to the main determinants of long-term sovereign bond yields. We apply the Classification and Regression Tree method (CART). According to the findings, countries with lower inflation, a lower debt to GDP ratio, a lower...
Persistent link: https://www.econbiz.de/10011517129
The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990–2013. The results confirm the existence of an inverse relationship between sovereign bond yields, sovereign risk and...
Persistent link: https://www.econbiz.de/10012868943
The objective of this paper is to provide a monthly estimation of term structure of spot interest rates and forward interest rates since the beginning of the European Monetary Union. In order to do this, we apply the Fama-Bliss metido, the approximating functions of two of the methods most...
Persistent link: https://www.econbiz.de/10012903804
The objective of this paper is to provide a monthly estimation of the interest rate term structure in the European interbank market since the beginning of the European Monetary Union. In order to do this, we apply the Fama-Bliss boot-strapping method with the approximating function of one of the...
Persistent link: https://www.econbiz.de/10013011373