Yield spreads on EMU government bonds

By Lorenzo Codogno, Carlo A. Favero, A. Missale. 2003

589 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/931da986a29b67452c978eb8b32a710f92782517

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Citations in the corpus

Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals? (2010, unknown): “4 Used in, e.g., Codogno et al (2003), Schuknecht et al (2010).”
Fiscal institutions, fiscal policy and sovereign risk premia in EMU (2008, unknown): “Codogno et al. (2003) and Pagano and Thadden (2004) also note considerable co-movement of yield spreads, probably driven by international risk factors.”
The macroeconomic effects of fiscal policy (2012, unknown): “For Europe, the existing evidence points either to a significant (although small) effect (Bernoth et al., 2003; Codogno et al., 2003; Faini, 2006; Afonso and Strauch, 2007), or to the absence of impact (HeppkeFalk and Hufner, 2004).”
Sovereign bond yield spreads: A time-varying coefficient approach (2012, unknown): “Codogno et al. (2003), Geyer et al. (2004), Favero et al. (2010) and Pozzi and Wolswijk (2008) find that yield spreads across EMU countries are significantly affected by global risk factors. Similarly, Sgherri and Zoli (2009) and Manganelli and Wolswijk (2009) find that a substantial part of EMU yie”
Banking and Sovereign Risk in the Euro Area (2010, unknown): “3 Codogno et al. (2003), using data from 1992 to 2002, confirm that an international risk factor,”
How Does Liquidity Affect Government Bond Yields? (2009, unknown): “This difference in results may arise from the fact that Beber et al. (2009) control for country-specific risk but do not consider aggregate risk factors.4 In contrast, we model risk as being driven by a common factor, consistent with the results by Codogno et al. (2003) and Geyer et al. (2004).5”
Convergence and Anchoring of Yield Curves in the Euro Area (2008, unknown): “…Baele et al., a number of studies have found significant differences in yield spreads across euro area countries even after EMU due either to differences in credit risk (Codogno et al. 2003, Manganelli and Wolswijk 2007) or liquidity (Gómez-Puig 2006, Jankowitsch et al. 2006, Favero et al. 2008).”
Rules and risk in the Euro area (2014, background): “In an international context, a positive relationship between public debt and interest rates has been consistently con rmed (Edwards, 1986; Alexander and Anker, 1997; Lemmen and Goodhart, 1999; Lonning, 2000; Copeland and Jones, 2001; Codogno et al., 2003).”
What Drives Spreads in the Euro Area Government Bond Market? (2007, unknown): “A robust finding of the literature is that spreads under EMU are driven by a common factor ( see , for example , Codogno et al .”
The European Bond Markets Under Emu (2004, unknown): “As documented by Codogno et al. (2003) for 2002, CDSs were priced between close to zero basis points (for France) to more than 12 basis points (for Italy) relative to Germany, suggesting that markets perceived and priced the possibility of a default for at least some euro-zone countries (this…”