scholarly journals Sovereign Bond Yield Spreads: A Time-Varying Coefficient Approach

2010 ◽  
Author(s):  
Kerstin Bernoth ◽  
Burcu Erdogan
Keyword(s):  
Time Varying ◽  
Yield Spreads ◽  
Varying Coefficient ◽  
Sovereign Bond ◽  
Bond Yield

scholarly journals TIME-VARYING COEFFICIENT MODELS: A PROPOSAL FOR SELECTING THE COEFFICIENT DRIVER SETS

2016 ◽  
Vol 21 (5) ◽  
pp. 1158-1174 ◽  
Author(s):  
Stephen G. Hall ◽  
P. A. V. B. Swamy ◽  
George S. Tavlas
Keyword(s):  
Arbitrary Element ◽  
The Other ◽  
Varying Coefficient Models ◽  
Time Varying ◽  
Varying Coefficient ◽  
Sovereign Bond ◽  
Varying Coefficients ◽  
Time Varying Coefficients ◽  
Bond Spreads

Coefficient drivers are observable variables that feed into time-varying coefficients (TVCs) and explain at least part of their movement. To implement the TVC approach, the drivers are split into two subsets, one of which is correlated with the bias-free coefficient that we want to estimate and the other with the misspecification in the model. This split, however, can appear to be arbitrary. We provide a way of splitting the drivers that takes account of any nonlinearity that may be present in the data, with the aim of removing the arbitrary element in driver selection. We also provide an example of the practical use of our method by applying it to modeling the effect of ratings on sovereign-bond spreads.

scholarly journals Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries

2019 ◽  
Vol 98 ◽  
pp. 156-169 ◽  
Author(s):  
Gunther Capelle-Blancard ◽  
Patricia Crifo ◽  
Marc-Arthur Diaye ◽  
Rim Oueghlissi ◽  
Bert Scholtens
Keyword(s):  
Empirical Analysis ◽  
Oecd Countries ◽  
Yield Spreads ◽  
Sovereign Bond ◽  
Bond Yield

scholarly journals The Determinants of Sovereign Bond Yield Spreads in the EMU

2012 ◽  
Author(s):  
Antonio Afonso ◽  
Michael Arghyrou ◽  
Alexandros Kontonikas
Keyword(s):  
Yield Spreads ◽  
Sovereign Bond ◽  
Bond Yield

Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries

2016 ◽  
Vol 58 ◽  
pp. 83-92 ◽  
Author(s):  
Param Silvapulle ◽  
Jean Pierre Fenech ◽  
Alice Thomas ◽  
Rob Brooks
Keyword(s):  
Yield Spreads ◽  
Eu Countries ◽  
Sovereign Bond ◽  
Bond Yield
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