Details
| Original language | English |
|---|---|
| Pages (from-to) | 109-118 |
| Number of pages | 10 |
| Journal | Journal of Banking and Finance |
| Volume | 41 |
| Early online date | 15 Jan 2014 |
| Publication status | Published - Apr 2014 |
Abstract
This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased significantly after this period. This could be a sign of higher sovereign credit risk (and possibly even redenomination risk) caused by the debt crisis in the euro area. We find clear indications for non-stationary behavior after the breakpoints and empirical evidence for positive excess kurtosis and GARCH-effects when persistence increases.
Keywords
- Changing persistence, Fractional integration, Testing uncovered interest parity
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Journal of Banking and Finance, Vol. 41, 04.2014, p. 109-118.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Testing for a break in the persistence in yield spreads of EMU government bonds
AU - Sibbertsen, Philipp
AU - Wegener, Christoph
AU - Basse, Tobias
PY - 2014/4
Y1 - 2014/4
N2 - This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased significantly after this period. This could be a sign of higher sovereign credit risk (and possibly even redenomination risk) caused by the debt crisis in the euro area. We find clear indications for non-stationary behavior after the breakpoints and empirical evidence for positive excess kurtosis and GARCH-effects when persistence increases.
AB - This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased significantly after this period. This could be a sign of higher sovereign credit risk (and possibly even redenomination risk) caused by the debt crisis in the euro area. We find clear indications for non-stationary behavior after the breakpoints and empirical evidence for positive excess kurtosis and GARCH-effects when persistence increases.
KW - Changing persistence
KW - Fractional integration
KW - Testing uncovered interest parity
UR - http://www.scopus.com/inward/record.url?scp=84893393720&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2014.01.003
DO - 10.1016/j.jbankfin.2014.01.003
M3 - Article
AN - SCOPUS:84893393720
VL - 41
SP - 109
EP - 118
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
ER -