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• W1815662844 abstract "We propose high-frequency DCC-MIDAS models to estimate high- and low-frequency correlations in the 10-year government bond spreads for Belgium, France, Italy, the Netherlands and Spain relative to Germany, from 1-June-2007 to the 31-May-2012. The high-frequency component, reflecting financial market conditions, is evaluated at 15-minute frequency, while the low-frequency component, fixed through a month, depends on country specific macroeconomic conditions. We find strong links between spreads volatility and worsening macroeconomic fundamentals; in presence of similar macroeconomic fundamentals relative spreads move together; the increasing correlation in spreads during the burst of the sovereign debt crisis cannot be ascribed to macroeconomic factors but rather to changes in market liquidity." @default.
• W1815662844 created "2016-06-24" @default.
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• W1815662844 date "2014-01-01" @default.
• W1815662844 modified "2023-09-25" @default.
• W1815662844 title "High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers" @default.
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• W1815662844 doi "https://doi.org/10.2139/ssrn.2460953" @default.
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