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- W3124927717 abstract "We analyze the importance of different types of asset holdings for the interdependence of the yield curves in the EMU using a spatial VAR model. We find that the cross-border holdings of long-term debt and bank lending are important for the interdependence. Our analysis of cross-sectional dispersion in sovereign-CDS-premium term structure shows that the differential in sovereign creditworthiness in the EMU is a main driver of the yield-curve divergence after 2008. The degree to which EMU countries’ yield-curve slopes depend on the US slope decreases in the recent US recession, reflecting expectations during this period about future divergence of the US and EMU economies." @default.
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- W3124927717 date "2015-10-06" @default.
- W3124927717 modified "2023-09-23" @default.
- W3124927717 title "Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets" @default.
- W3124927717 hasPublicationYear "2015" @default.
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