| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9538 |
| DP9538 Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals | |
| Alessandro Beber; Michael Brandt; Maurizio Luisi | |
| 发表日期 | 2013-07-07 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We construct daily real-time macroeconomic indices conditional on the rating of Eurozone countries. We uncover substantial explanatory power of our measures of economic fundamentals for yield dynamics beyond the traditional yield principal components. In particular, we find that the divergence in economic growth between AAA and non-AAA countries significantly explains the dynamics of sovereign yield spreads between the same groups of countries. The explanatory power of fundamentals is not subsumed by proxies of time-varying risk-aversion or by the perceived riskiness of the Eurozone banking sector. Finally, we cast this analysis of the Eurozone sovereign yields in an innovative term structure model, featuring our real-time macroeconomic factors conditional on country ratings. |
| 主题 | Financial Economics |
| 关键词 | Real-time economic growth Sovereign yield spread |
| URL | https://cepr.org/publications/dp9538 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538374 |
| 推荐引用方式 GB/T 7714 | Alessandro Beber,Michael Brandt,Maurizio Luisi. DP9538 Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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