Sovereign bond yield spreads: A time-varying coefficient approach
By Kerstin Bernoth, Burcu Erdogan. 2012
315 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/5cfc75c5ec795e2dc5113eea14b1d27249818e21
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Alexandros Kontonikas
- António Afonso
- M. Arghyrou
- Stefanie Walter
- Anna Iara
- Rim Oueghlissi
- Mark Copelovitch
- G. Capelle-Blancard
In Finance
- Alexandros Kontonikas
- António Afonso
- M. Arghyrou
- Bert Scholtens
- Mark Copelovitch
- Stefanie Walter
- Patricia Crifo
- Anna Iara
Citations in the corpus
- Rules and risk in the Euro area (2014, background): “The impact of risk perceptions has also received signi cant attention by important research (Codogno et al., 2003; Favero et al., 1997; Barrios et al., 2009) and more recent research has looked into variations in time in the weight of various determinants (Bernoth and Erdogan, 2010).”
- The Political Economy of the Euro Crisis (2016, background): “13 Inasmuch as there were expectations of a bailout, market participants did not have to worry unduly about the risks associated with weaknesses in an individual Eurozone country’s financial system (Bernoth & Erdogan, 2012).”
- What precious metals act as safe havens, and when? Some US evidence (2015, unknown): “Author & year Safe haven assets/currencies/countries Time period Baur and Lucey (2010) Gold is safe haven in extreme stock market conditions November 1995–November 2005 Baur and McDermott (2010) Gold 1979–2009 Beckmann and Scheiber (2010) Euro in Southeastern Europe Survey in 2011 Schuknecht and Von”
- Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries (2019, background): “Bernoth et al. (2004) and Bernoth and Erdogan (2012) observe that the general pricing of risk has increased over time in the EMU.”
- The Time Variation in Risk Appetite and Uncertainty (2019, unknown): “+ σκpωp,t+1 + σκnωn,t+1 + σκlpωlp,t+1 + σκlnωln,t+1 + u κ t+1 (23)”
- The Determinants of Sovereign Bond Yield Spreads in the EMU (2012, background): “Second, we allow the expected debt to GDP ratio differential versus Germany to enter in the second power (debit 2) to capture possible non-linear effects of expected fiscal performance on government bond spreads, as suggested by Bernoth et al. (2004) and Bernoth and Erdogan (2010).”