摘要：This study tests for a break in the persistence of EMU government bond yieldspreads examining data from France, Italy and Spain and using Germaninterest rates as a kind of benchmark. The results reported here provideevidence for breaks between 2006 and 2008. The persistence of the yieldspreads against German government bonds has increased significantly afterthis period. This could be a sign of higher sovereign credit risk (and possiblyeven redenomination risk) caused by the debt crisis in the euro area. Wefind long-memory behavior before and after the breakpoints and empiricalevidence for positive excess kurtosis and GARCH-e.ects when persistenceincreases
