How Euro-Area Sovereign Spreads Respond to Shocks? A TVP-FAVAR Model

2013 ◽  
Author(s):  
Vassilios Babalos ◽  
Emmanuel C. Mamatzakis
Keyword(s):  
Euro Area ◽  
Sovereign Spreads

scholarly journals Monetary Policy Surprises over Time

2018 ◽  
Vol 08 (01) ◽  
pp. 1840002 ◽  
Author(s):  
Marcello Pericoli ◽  
Giovanni Veronese
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Euro Area ◽  
Yield Curve ◽  
Sovereign Spreads ◽  
Definition Of ◽  
Term Premia ◽  
The Impact ◽  
Over Time

We document how the impact of monetary surprises on euro-area and US financial markets has changed from 1999 to date. We use a definition of monetary policy surprises, which singles out movements in the long-end of the yield curve — rather than those changing nearby futures on the central bank reference rates. By focusing only on this component of monetary policy, our results are more comparable over time. We find a hump-shaped response of the yield curve to monetary policy surprises, both in the pre-crisis period and since 2013. During the crisis years, Fed path-surprises, largely through their effect on term premia, account for the impact on interest rates, which is found to be increasing in tenor. In the euro area, the path-surprises reflect the shifts in sovereign spreads, and have a large impact on the entire constellation of interest rates, exchange rates and equity markets.

Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks*

2013 ◽  
Vol 18 (6) ◽  
pp. 2103-2151 ◽  
Author(s):  
Alain Monfort ◽  
Jean-Paul Renne
Keyword(s):  
Euro Area ◽  
Sovereign Spreads

scholarly journals What Explains the Surge in Euro Area Sovereign Spreads During the Financial Crisis of 2007-2009?

2011 ◽  
pp. 407-414 ◽  
Author(s):  
Maria-grazia Attinasi ◽  
Cristina Checherita ◽  
Christiane Nickel
Keyword(s):  
Financial Crisis ◽  
Euro Area ◽  
Sovereign Spreads
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