Modelling and forecasting government bond spreads in the euro area: A GVAR model

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Theory and Practice of GVAR Modeling (2016, unknown): “Favero (2013) focuses on sovereign risk and, in particular, models time-varying interdependence among 10-year sovereign bond spreads of euro area member states in a GVAR.”
Systemic risk in European sovereign debt markets: A CoVaR-copula approach (2015, background): “…as credit risk, exchange rate movements, specific news, rating changes and even the probability of some countries exiting the euro area (see, e.g., Manganelli and Wolswijk, 2009; Haugh et al., 2009; Schuknecht et al., 2010; Borgy et al., 2011; De Santis, 2014; Beestma et al., 2013; Favero, 2013).”
Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone (2017, background): “Favero (2013) also finds that fiscal fundamentals matter for eurozone spreads in interaction with the time varying perceived risk of a eurozone breakup.”
Recent Estimates of Sovereign Risk Premia for Euro-Area Countries (2012, background): “5 For an earlier analysis of yield spreads in the euro area, see Codogno, Favero and Missale (2005).”