Arbeitspapier
Correlation changes between the risk-free rate and sovereign yields of euro area countries
We study correlations between the risk-free rate and sovereign yields of ten euro area countries using smooth transition conditional correlation GARCH (STCC-GARCH) specifications, controlling for credit risk in mean and variance equations and conditioning non-linearly to liquidity risk. Correlations are state-dependent and heterogeneous across jurisdictions. Using panel vector autoregression models, we identify the macro factors influencing the correlations: interbank credit risk, the Greek crisis, and break-up risk. We show that the European Central Bank’s asset purchase programmes helped restore the pass-through relationship. We also make a methodological contribution by estimating all STCC-GARCH parameters at once and introducing an STCC-GARCHX.
- ISBN
-
978-92-899-2227-2
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1979
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Thema
-
euro area
government bonds
monetary policy
smooth transition models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
De Santis, Roberto
Stein, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2016
- DOI
-
doi:10.2866/850460
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- De Santis, Roberto
- Stein, Michael
- European Central Bank (ECB)
Entstanden
- 2016
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