Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models
This paper investigates the effect of European monetary policies on Eurozone countries’ sovereign risks. We control for interdependencies across individual variables within and across countries using a global VAR specification weighting transmission by their fiscal position. We find evidence of posi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2019-01-01
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| Series: | Journal of Applied Economics |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/15140326.2019.1665312 |