| Abstract [eng] |
This thesis investigates the spreads of 10-year bond yields of sovereign euro area countries versus Germany as the way to highlight the differences or similarities among its member states. For this purpose, the thesis, first, examines the convergence and divergence patterns of 13 euro area countries over the period from 2003 to 2022, implementing the Phillips and Sul method. Second, since the property of dependence on distant events unfolds in the long memory parameter, the ARFIMA model finds the fractional part of the differencing parameter. The latter approach is tested against the periodogram-based methods, which serve as a robustness check of the assessed potentially long memory feature having parameters. The empirical findings suggest the acceptance of the overall convergence of euro area government bond spreads in the long-run. Although there are divergence features in a certain period in which the significant shocks occur, the common treatment of the euro area as the unity is confirmed. The investigation of long memory in the euro area discloses the absence of dependent distant events in the spreads residuals after removing ARIMA impacts or this dependence is weak. According to the results, the proposed two-step procedure that involves fitting both ARIMA and ARFIMA models to estimate the long memory parameter of the government bond spreads in the euro area is more reliable in narrower confidence intervals sense than periodogram-based alternatives. |
