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Macro news and bond yield spreads in the euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola

Description

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for the period 1999–2014. The econometric analysis is based on the estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on yield spreads...[Show more]

CollectionsANU Research Publications
Date published: 2017
Type: Journal article
URI: http://hdl.handle.net/1885/114529
Source: The European Journal of Finance
DOI: 10.1080/1351847X.2017.1285797

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