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

Journal of Econometrics

Volumn 177, Issue 2, 2013, Pages 343-356

  Favero, Carlo A ^a,b  

^a BOCCONI UNIVERSITY   (Italy)

^b CEPR   (United Kingdom)

Author keywords

Bond spreads in the euro area; Exchange rate premium; Global VAR

Indexed keywords

FINANCE;

ECONOMETRIC MODELLING; EXCHANGE RATES; FINANCIAL VARIABLES; GLOBAL VAR; MODELLING AND FORECASTING; STANDARD SPECIFICATIONS; TIME-VARYING MEANS; TIME-VARYING PATTERNS;

SPECIFICATIONS;

EID: 84886727771     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.04.004     Document Type: Article

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