Matches in SemOpenAlex for { <https://semopenalex.org/work/W1575306676> ?p ?o ?g. }
Showing items 1 to 81 of
81
with 100 items per page.
- W1575306676 abstract "Unstability in the comovement among bond spreads in the euro area is an important feature for dynamic econometric modelling and forecasting. This paper proposes a non-linear GVAR approach to spreads in the euro area where the changing interdepence among these variables is modelled by making each country spread function of a global variable determined by fiscal fundamentals with a time-varying composition. The model naturally accommodates the possibility of multiple equilibria in the relation between default premia and local fiscal fundamentals. The estimation reveals a significant non-linear relation between spreads and fiscal fundamentals that generates time-varying impulse response of local spreads to shocks in other euro area countries spreads. The GVAR framework is then applied to the analysis of the dynamic effects of fiscal stabilization packages on the cost of government borrowing and to the evaluation of the importance of potential contagion effects determining a significant increase in cross-market linkages after a shock to a group of countries." @default.
- W1575306676 created "2016-06-24" @default.
- W1575306676 creator A5077350207 @default.
- W1575306676 date "2012-01-01" @default.
- W1575306676 modified "2023-09-26" @default.
- W1575306676 title "Modelling and Forecasting Yield Differentials in the euro area. A non-linear Global VAR model" @default.
- W1575306676 cites W1489071888 @default.
- W1575306676 cites W1531307674 @default.
- W1575306676 cites W1575585892 @default.
- W1575306676 cites W1588426971 @default.
- W1575306676 cites W1822921229 @default.
- W1575306676 cites W1832474830 @default.
- W1575306676 cites W1863633775 @default.
- W1575306676 cites W1896685458 @default.
- W1575306676 cites W1977480757 @default.
- W1575306676 cites W1997490909 @default.
- W1575306676 cites W2053908653 @default.
- W1575306676 cites W2078944630 @default.
- W1575306676 cites W2100641458 @default.
- W1575306676 cites W2104394846 @default.
- W1575306676 cites W2108224789 @default.
- W1575306676 cites W2113503988 @default.
- W1575306676 cites W2136431771 @default.
- W1575306676 cites W2163287725 @default.
- W1575306676 cites W2164312708 @default.
- W1575306676 cites W2166377256 @default.
- W1575306676 cites W3022367431 @default.
- W1575306676 cites W3121191555 @default.
- W1575306676 cites W3121813836 @default.
- W1575306676 cites W3122619433 @default.
- W1575306676 cites W3122870994 @default.
- W1575306676 cites W3123068586 @default.
- W1575306676 cites W3123288832 @default.
- W1575306676 cites W3123842275 @default.
- W1575306676 cites W3125324917 @default.
- W1575306676 cites W3125669581 @default.
- W1575306676 cites W3126067738 @default.
- W1575306676 hasPublicationYear "2012" @default.
- W1575306676 type Work @default.
- W1575306676 sameAs 1575306676 @default.
- W1575306676 citedByCount "2" @default.
- W1575306676 countsByYear W15753066762014 @default.
- W1575306676 countsByYear W15753066762015 @default.
- W1575306676 crossrefType "posted-content" @default.
- W1575306676 hasAuthorship W1575306676A5077350207 @default.
- W1575306676 hasBestOaLocation W15753066761 @default.
- W1575306676 hasConcept C105795698 @default.
- W1575306676 hasConcept C121332964 @default.
- W1575306676 hasConcept C133029050 @default.
- W1575306676 hasConcept C134121241 @default.
- W1575306676 hasConcept C149782125 @default.
- W1575306676 hasConcept C162324750 @default.
- W1575306676 hasConcept C163175372 @default.
- W1575306676 hasConcept C33923547 @default.
- W1575306676 hasConcept C97355855 @default.
- W1575306676 hasConceptScore W1575306676C105795698 @default.
- W1575306676 hasConceptScore W1575306676C121332964 @default.
- W1575306676 hasConceptScore W1575306676C133029050 @default.
- W1575306676 hasConceptScore W1575306676C134121241 @default.
- W1575306676 hasConceptScore W1575306676C149782125 @default.
- W1575306676 hasConceptScore W1575306676C162324750 @default.
- W1575306676 hasConceptScore W1575306676C163175372 @default.
- W1575306676 hasConceptScore W1575306676C33923547 @default.
- W1575306676 hasConceptScore W1575306676C97355855 @default.
- W1575306676 hasLocation W15753066761 @default.
- W1575306676 hasOpenAccess W1575306676 @default.
- W1575306676 hasPrimaryLocation W15753066761 @default.
- W1575306676 hasRelatedWork W1502863228 @default.
- W1575306676 hasRelatedWork W1583653541 @default.
- W1575306676 hasRelatedWork W2027753577 @default.
- W1575306676 hasRelatedWork W2096734711 @default.
- W1575306676 hasRelatedWork W2132731828 @default.
- W1575306676 hasRelatedWork W2174956571 @default.
- W1575306676 hasRelatedWork W2185996516 @default.
- W1575306676 hasRelatedWork W3005835592 @default.
- W1575306676 hasRelatedWork W3122552177 @default.
- W1575306676 hasRelatedWork W2142213187 @default.
- W1575306676 isParatext "false" @default.
- W1575306676 isRetracted "false" @default.
- W1575306676 magId "1575306676" @default.
- W1575306676 workType "article" @default.