期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：We study correlations between the risk-free rate and sovereign yields of ten euro area countriesusing smooth transition conditional correlation GARCH (STCC-GARCH) specifications,controlling for credit risk in mean and variance equations and conditioning non-linearlyto liquidity risk. Correlations are state-dependent and heterogeneous across jurisdictions.Using panel vector autoregression models, we identify the macro factors influencing the correlations:interbank credit risk, the Greek crisis, and break-up risk. We show that theEuropean Central Bank’s asset purchase programmes helped restore the pass-through relationship.We also make a methodological contribution by estimating all STCC-GARCHparameters at once and introducing an STCC-GARCHX
关键词：Monetary Policy; Government Bonds; Smooth Transition Models; Euro Area
