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Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds

Autor: Philipp Sibbertsen and Christoph Wegener and Tobias Basse
Nummer: 517, Aug 2013, pp. 30
JEL-Class: C22, E43, G12

Abstract:
This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased signi cantly after this period. This could be a sign of higher sovereign credit risk (and possibly even redenomination risk) caused by the debt crisis in the euro area. We nd long-memory behavior before and after the breakpoints and empirical evidence for positive excess kurtosis and GARCH-e ects when persistence increases.

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