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Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets
Roberto A. De Santis
出版
European Central Bank
, 2014
URL
http://books.google.com.hk/books?id=MTYazwEACAAJ&hl=&source=gbs_api
註釋
"The authors use a Smooth Transition Conditional Correlation GARCH (STCC-GARCH) model applied to the euro area monetary policy rates and sovereign yields of Italy, Spain and Germany at 5-year maturity to estimate the threshold level of the signals above which the sovereign bond market moves to a crisis regime. They show that the threshold to a crisis regime for Italy and Spain is reached when (i) their 5-year sovereign yield spreads amount to 80-90 basis points; (ii) their 5-year CDS spreads amount to 120-130 basis points or (iii) the 5-year spread between the Kreditanstalt fur Wiederaufbau (KfW) bond and the German Bund amounts to 25 basis points. Using impulse responses, the authors find that the STCC-GARCH with the KfW-Bund spread has leading properties, a feature corroborated by the fact that this indicator suggested a shift to a crisis regime already in August 2007 and has been signalling an improvement of the situation already in the autumn of 2012. An out-of-sample forecast of the STCC-GARCH model is also provided, which is both a novelty and a further robustness check for the stability of the model."--Abstract.