Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/260168 
Year of Publication: 
2015
Series/Report no.: 
Working Paper No. 2015:30
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
We analyze the importance of different types of asset holdings for the interdependence of the yield curves in the EMU using a spatial VAR model. We find that the cross-border holdings of long-term debt and bank lending are important for the interdependence. Our analysis of cross-sectional dispersion in sovereign-CDS-premium term structure shows that the differential in sovereign creditworthiness in the EMU is a main driver of the yield-curve divergence after 2008. The degree to which EMU countries' yield-curve slopes depend on the US slope decreases in the recent US recession, reflecting expectations during this period about future divergence of the US and EMU economies.
Subjects: 
yield-curve factors
cross-border asset holding
spatial dependence
EMU
sovereign credit default swap
JEL: 
C31
E43
G15
Document Type: 
Working Paper

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