The Resource Eurozone sovereign yield spreads and diverging economic fundamentals, Alessandro Beber, Michael Brandt and Maurizio Luisi, (electronic resource)

Eurozone sovereign yield spreads and diverging economic fundamentals, Alessandro Beber, Michael Brandt and Maurizio Luisi, (electronic resource)

Label
Eurozone sovereign yield spreads and diverging economic fundamentals
Title
Eurozone sovereign yield spreads and diverging economic fundamentals
Statement of responsibility
Alessandro Beber, Michael Brandt and Maurizio Luisi
Creator
Contributor
Author
Subject
Language
eng
Summary
We construct daily real-time macroeconomic indices conditional on the rating of Eurozone countries. We uncover substantial explanatory power of our measures of economic fundamentals for yield dynamics beyond the traditional yield principal components. In particular, we find that the divergence in economic growth between AAA and non-AAA countries significantly explains the dynamics of sovereign yield spreads between the same groups of countries. The explanatory power of fundamentals is not subsumed by proxies of time-varying risk-aversion or by the perceived riskiness of the Eurozone banking sector. Finally, we cast this analysis of the Eurozone sovereign yields in an innovative term structure model, featuring our real-time macroeconomic factors conditional on country ratings
Member of
Cataloging source
GZM
http://library.link/vocab/creatorName
Beber, Alessandro
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1971-
http://library.link/vocab/relatedWorkOrContributorName
  • Brandt, Michael W.
  • Luisi, Maurizio
  • Centre for Economic Policy Research (Great Britain)
Series statement
  • Discussion paper series,
  • Financial economics
Series volume
no. 9538
http://library.link/vocab/subjectName
  • Economic indicators
  • Eurozone
  • Debts, Public
Label
Eurozone sovereign yield spreads and diverging economic fundamentals, Alessandro Beber, Michael Brandt and Maurizio Luisi, (electronic resource)
Link
http://www.cepr.org.ezproxy.eui.eu/content/discussion-papers
Instantiates
Publication
Note
  • "July 2013."
  • "Submitted 21 June 2013."
Bibliography note
Includes bibliographical references (pages 24-25)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17469260
Extent
1 online resource (43 pages)
Form of item
online
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other physical details
illustrations.
Specific material designation
remote
System control number
(OCoLC)852425492
Label
Eurozone sovereign yield spreads and diverging economic fundamentals, Alessandro Beber, Michael Brandt and Maurizio Luisi, (electronic resource)
Link
http://www.cepr.org.ezproxy.eui.eu/content/discussion-papers
Publication
Note
  • "July 2013."
  • "Submitted 21 June 2013."
Bibliography note
Includes bibliographical references (pages 24-25)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17469260
Extent
1 online resource (43 pages)
Form of item
online
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other physical details
illustrations.
Specific material designation
remote
System control number
(OCoLC)852425492

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