Arbeitspapier
Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets
We analyze the importance of different types of asset holdings for the interdependence of the yield curves in the EMU using a spatial VAR model. We find that the cross-border holdings of long-term debt and bank lending are important for the interdependence. Our analysis of cross-sectional dispersion in sovereign-CDS-premium term structure shows that the differential in sovereign creditworthiness in the EMU is a main driver of the yield-curve divergence after 2008. The degree to which EMU countries' yield-curve slopes depend on the US slope decreases in the recent US recession, reflecting expectations during this period about future divergence of the US and EMU economies.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2015:30
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Interest Rates: Determination, Term Structure, and Effects
International Financial Markets
- Thema
-
yield-curve factors
cross-border asset holding
spatial dependence
EMU
sovereign credit default swap
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Asgharian, Hossein
Liu, Lu
Larsson, Marcus
- Ereignis
-
Veröffentlichung
- (wer)
-
Lund University, School of Economics and Management, Department of Economics
- (wo)
-
Lund
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Asgharian, Hossein
- Liu, Lu
- Larsson, Marcus
- Lund University, School of Economics and Management, Department of Economics
Entstanden
- 2015
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