Claeys & Vasicek(2014)

[mightydell37]

I'm looking for the RATS code to implement Claeys & Vasicek (2014), "Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe," ECB Working Paper Series No. 1666, April 2014. The paper is available at https://www.ecb.europa.eu/pub/pdf/scpwp ... bf722a582c. The paper uses a factor-augmented version of the VAR model in Diebold and Yilmaz (2009) and applies a multivariate structural break test of Qu and Peron (2007) to detect significant sudden changes in shock transmission.

The paper is available at:
https://www.ecb.europa.eu/pub/pdf/scpwp ... bf722a582c

Thank you.

[mightydell37]

I'm interested with the codes for estimating the Diebold-Yilmaz spillover index using the Factor Augmented VAR (FAVAR) approach because I want to see how it differs from a VAR model that includes the CBOE volatility index (VIX), which is used to control for common shocks.

I'm looking for the RATS code to implement Claeys & Vasicek (2014), "Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe," ECB Working Paper Series No. 1666, April 2014. The paper is available at https://www.ecb.europa.eu/pub/pdf/scpwp ... bf722a582c. The paper uses a factor-augmented version of the VAR model in Diebold and Yilmaz (2009) and applies a multivariate structural break test of Qu and Peron (2007) to detect significant sudden changes in shock transmission.

The paper is available at:
https://www.ecb.europa.eu/pub/pdf/scpwp ... bf722a582c

Thank you.

[TomDoan]

Have you requested the data (and programs if possible) from the authors?

[mightydell37]

Hi Tom,

I'm still waiting for their reply.

Have you requested the data (and programs if possible) from the authors?

[mightydell37]

Dear Tom, I was told by one of the authors that because of proprietary issues, they cannot share the data. As for the Estima RATS implementation, he told me that they modified the BBE FAVAR RATS code to extract common factors from the 16 EU sovereign bond yield spreads. My confusion stems from my lack of understanding how slow and fast moving variables are used to identify the loadings. Grateful if you can provide me with directions on the next steps to take. Thank you.

Hi Tom,

I'm still waiting for their reply.

Have you requested the data (and programs if possible) from the authors?