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2013 | nr 3(18) | 30
Tytuł artykułu

Interactions of U.S., German and Greek Bond Markets in Times of Financial Crisis. A Bayesian Analysis of Exogeneity in the VAR-SV Model

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This paper examines interactions of the U.S., German and Greek bond markets in times of financial crisis. Specifically, the connections among daily and weekly growth rates of the 10-year government bond yields of the U.S., Germany and Greece from July 13, 2006 to June 28, 2012 are considered and an empirical illustration of those, based on the vector autoregressive (VAR) model with stochastic volatility (SV) disturbances, is provided. Finally, sufficient weak and strong exogeneity conditions in the VAR-SV models are tested. Since the strong exogeneity hypothesis of the 10-year US bond yields' growth rates has not been rejected by the data, they can be predicted from the marginal model only. (original abstract)
Rocznik
Numer
Strony
30
Opis fizyczny
Twórcy
  • Cracow University of Economics, Poland
autor
  • Cracow University of Economics, Poland
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Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171261503

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