Measuring Systematic Risk in EMU Government Yield Spreads

This paper focuses on the joint dynamics of yield spreads derived from government bonds issued by member states of the European Monetary Union (EMU). A descriptive analysis shows that there are substantial and volatile spreads between zero coupon yields of EMU member countries and German Bund yields...

Full description

Saved in:

Bibliographic details
Volume:	8
Main Author:	Geyer, Alois Kossmeier, Stephan Pichler, Stefan
Format:	Journal Article
Language:	English
Zielgruppe:	Academic
Place of publication:	Dordrecht Kluwer Academic Publishers 01.06.2004 Springer Oxford University Press
published in:	European Finance Review Vol. 8; no. 2; pp. 171 - 197
Data of publication:	20040600
ISSN:	1572-3097 1573-692X 1875-824X
EISSN:	1573-692X 1875-824X
Discipline:	Business
Subjects:	affine term structure model intensity model Finance /Banking Kalman filter International Economics multi-issuer model credit spreads EMU Economics / Management Science Evaluation Models Risk management Zero coupon securities European Monetary Union Manycountries Derivatives Sovereign debt Default Studies Government bonds Bond markets Gross Domestic Product--GDP Spread Corporate bonds Foreign exchange rates Risk assessment Yield Macroeconomics Bond ratings Europe Germany
Online Access:	Fulltext
Database:	CrossRef Academic OneFile (A&I only) ProQuest Central China Banking Information Database ABI/INFORM Collection China ProQuest Business Collection (Alumni Edition) ProQuest One Business (Alumni) ProQuest One Academic Eastern Edition ProQuest Recent Newspapers: Saskatoon Star Phoenix Asian & European Business Collection (Alumni) ProQuest Central (Corporate) ProQuest Central Basic ABI/INFORM Global (Corporate) ProQuest Business Collection ProQuest Central (Alumni Edition) ABI/INFORM Collection ABI/INFORM Global (PDF only) ProQuest One Academic Accounting, Tax & Banking Collection ProQuest One Academic UKI Edition ProQuest One Business ABI/INFORM Global ProQuest Central (purchase pre-March 2016) Accounting, Tax & Banking Collection (Alumni) ProQuest Pharma Collection Business Premium Collection European Business Database ProQuest Central ProQuest Central Korea Banking Information Database (Alumni Edition) ABI/INFORM Global (Alumni Edition) European Business Database (Alumni Edition) ProQuest Central (Alumni) (purchase pre-March 2016) Asian & European Business Collection Business Premium Collection (Alumni) ABI/INFORM Collection (Alumni Edition) Database information Databases - DBIS