A macro-financial analysis of the euro area sovereign bond market

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dc.contributor.authorDewachter, Hans
dc.contributor.authorIania, Leonardo
dc.contributor.authorLyrio, Marco Túlio Pereira
dc.contributor.authorMaite de Sola Perea
dc.coverage.paisNão Informadopt_BR
dc.creatorDewachter, Hans
dc.creatorIania, Leonardo
dc.creatorLyrio, Marco Túlio Pereira
dc.creatorMaite de Sola Perea
dc.date.accessioned2024-01-05T19:35:07Z
dc.date.available2024-01-05T19:35:07Z
dc.date.issued2015
dc.description.otherWe estimate the ‘fundamental’ component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a unique pricing kernel. More specifically, we use the canonical representation proposed by Joslin et al. (2011) and introduce next to standard spanned factors a set of unspanned macro factors, as in Joslin et al. (forthcoming). The model is applied to yield curve data from Belgium, France, Germany, Italy, and Spain over the period 2005–2013. Overall, our results show that economic fundamentals are the dominant drivers behind sovereign bond spreads. Nevertheless, shocks unrelated to the fundamental component of the spread have played an important role in the dynamics of bond spreads since the intensification of the sovereign debt crisis in the summer of 2011.pt_BR
dc.format.extentp. 308-325pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttp://dx.doi.org/10.1016/j.jbankfin.2014.03.011pt_BR
dc.identifier.issn1872-6372pt_BR
dc.identifier.issn0378-4266pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/6318
dc.identifier.volume50pt_BR
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.relation.ispartofJournal of Banking & Financept_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsEuro area sovereign bondspt_BR
dc.subject.keywordsYield spread decompositionpt_BR
dc.subject.keywordsUnspanned macro-factorspt_BR
dc.subject.keywordsFair spreadspt_BR
dc.titleA macro-financial analysis of the euro area sovereign bond marketpt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.sciencedirect.com/science/article/pii/S0378426614000946
local.subject.cnpqCiências Exatas e da Terrapt_BR
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR

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