Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92947
Authors: 
Sibbertsen, Philipp
Wegener, Christoph
Basse, Tobias
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 517
Abstract: 
This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased signi cantly after this period. This could be a sign of higher sovereign credit risk (and possibly even redenomination risk) caused by the debt crisis in the euro area. We nd long-memory behavior before and after the breakpoints and empirical evidence for positive excess kurtosis and GARCH-e ects when persistence increases.
Subjects: 
Testing Uncovered Interest Parity
Fractional integration
Changing persistence
JEL: 
C22
E43
G12
Document Type: 
Working Paper

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