The European financial crisis - a challenge for ten-year German government bond yield forecasts?
by Frederik Kunze
International Journal of Bonds and Derivatives (IJBD), Vol. 1, No. 2, 2014

Abstract: The global financial crisis and European sovereign debt crisis did have major impacts on the whole European monetary union as well as on interest rates at the short and long end of the yield curve. In the case of Germany the flight to quality effect did have substantially impact on long term government bond yields. These to some extent surprising events might have been puzzling for professional interest rate forecasters as well. In order to investigate the quality survey predictions during the financial crisis and European sovereign debt crisis it will be tested for long-run relationships, for structural breaks in these relations as well as for short run dynamics.

Online publication date: Sat, 14-Feb-2015

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