On the time-varying relationship between EMU sovereign spreads and their determinants

Acharya, 2011, A Pyrrhic victory? — bank bailouts and sovereign credit risk Afonso, 2014, The determinants of sovereign bond yield spreads in the EMU, Int. J. Econ. Financ., 49, 10.1002/ijfe.1484 Alesina, 1992, Default risk on government debt in OECD countries, Econ. Policy, 15, 427, 10.2307/1344548 Arghyrou, 2012, The EMU sovereign debt crisis: fundamentals, expectations and contagion, J. Int. Financ. Mark. Inst. Money, 22, 658, 10.1016/j.intfin.2012.03.003 Arghyrou, 2011, The Greek debt crisis: likely causes, mechanics and outcomes, World Econ., 34, 173, 10.1111/j.1467-9701.2011.01328.x Aßmann, 2012, Determinants of government bond spreads in the euro area: in good times as in bad, Empirica, 39, 341, 10.1007/s10663-011-9171-6 Attinasi, 2009, What explains the surge in euro area sovereign spreads during the financial crisis of 2007–09? Barrios, 2009 Beber, 2009, Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market, Rev. Financ. Stud., 22, 925, 10.1093/rfs/hhm088 Bernoth, 2012, Sovereign bond yield spreads: a time-varying coefficient approach, J. Int. Money Financ., 31, 639, 10.1016/j.jimonfin.2011.10.006 Bernoth, 2004, Sovereign risk premia in the European government bond market Caceres, 2010, Sovereign spreads: global risk aversion, contagion or fundamentals? Caggiano, 2012, Fiscal and financial determinants of Eurozone sovereign spreads, Econ. Lett., 117, 774, 10.1016/j.econlet.2012.08.041 D'Agostino, 2012, The pricing of G7 sovereign bond spreads — the times they are a-changin De Grauwe, 2012, Mispricing of sovereign risk and macroeconomic stability in the eurozone, J. Common Mark. Stud., 50, 866, 10.1111/j.1468-5965.2012.02287.x De Santis, 2012, The euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece Doornik, 2009, Autometrics Favero, 2011, Sovereign spreads in the euro area. Which prospects for a eurobond? Favero, 2010, How does liquidity affect government bond yields?, J. Financ. Quant. Anal., 45, 107, 10.1017/S0022109009990494 Gerlach, 2010, Banking and sovereign risk in the euro-area Granger, 2001, Spurious regressions with stationary series, Appl. Econ., 33, 899, 10.1080/00036840121734 Hendry, 2000 Hendry, 2001 Hendry, 2005, The properties of automatic Gets modelling, Econ. J., 115, 32, 10.1111/j.0013-0133.2005.00979.x Hendry, 2005, Regression models with data-based indicator variables, Oxf. Bull. Econ. Stat., 67, 571, 10.1111/j.1468-0084.2005.00132.x Manganelli, 2009, What drives spreads in the euro-area government bond market?, Econ. Policy, 24, 191, 10.1111/j.1468-0327.2009.00220.x Schuknecht, 2010, Government bond risk premiums in the EU revisited: the impact of the financial crisis Sgherri, 2009, Euro area sovereign risk during the crisis Stock, 2007