Sovereign bond yield spreads: A time-varying coefficient approach

Author:

Bernoth Kerstin,Erdogan Burcu

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference47 articles.

1. Assmann, C., Boysen-Hogrefe, J., 2009. Determinants of government bond spreads in the euro area in good times as in bad. Kiel Working Paper 1548, Kiel Institute for the World Economy.

2. Attinasi, M.G., Checherita, C., Nickel, C., 2009. What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09? ECB Working Paper Series 1131, European Central Bank.

3. Barrios, S., Iversen, P., Lewandowska, M., Setzer, R., 2009. Determinants of intra-euro area government bond spreads during the financial crisis. European Economy - Economic Papers 388, Directorate General Economic and Monetary A_airs, European Commission.

4. Do credit markets discipline sovereign borrowers? Evidence from the U.S. states;Bayoumi;Journal of Money, Credit and Banking,1995

5. Flight-to-quality or ight-to-liquidity? Evidence from the Euro-Area bond market;Beber;The Review of Financial Studies,2009

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