Modeling Euro Area Bond Yields Using a Time-Varying Factor Model
Modeling Euro Area Bond Yields Using a Time-Varying Factor Model
复制标题
DOI：
10.2139/ssrn.2912220
复制
发表时间：
2017-02
期刊：
影响因子：
--
通讯作者：
T. Adam;Marco Lo Duca
中科院分区：
文献类型：
--
作者：
T. Adam;Marco Lo Duca
在本文中，我们研究的动态和驱动因素的主权债券收益率在欧元区国家使用随时间变化的加载系数和随机波动率的因素模型，它允许捕捉债券收益率的定价机制的变化。我们的主要贡献是探索全球和地方层面的债券收益率的决定因素，在个别欧元区国家使用随时间变化的模型。使用简化形式的结果，我们显示了脱钩的外围欧元区债券收益率从核心国家的收益率后，金融危机和其随后的重新整合的范围。此外，通过基于符号约束识别的结构分析，给出了债券收益率对EA和美国货币政策冲击以及对信心冲击的时变脉冲响应。JEL分类：C11，G01，E58
In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants in individual euro area countries using a time-varying model. Using the reduced form results, we show decoupling of periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent re-integration. In addition, by means of the structural analysis based on identification via sign restrictions, we present time varying impulse responses of bond yields to EA and US monetary policy shocks and to confidence shocks. JEL Classification: C11, G01, E58