Events and Meetings of Italian Statistical Society, Advances in Latent Variables - Methods, Models and Applications

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Fundamentals and contagion in the euro area sovereign bond crisis: a Markov switching approach
Gianni Gabriele Amisano, Oreste Tristani

Last modified: 2013-06-14

Abstract


We model euro area bond spreads vis-a-vis German bonds as a panel VAR model with a normal and a crisis regime. The model is estimated by using simulation based Bayesian inference. Transitions in crisis regimes are induced by changes in fundamentals and by contagion phenomena. All these forces are in act in the sample period taken into consideration.

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