Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis
Lu Yang and
Shigeyuki Hamori
The North American Journal of Economics and Finance, 2015, vol. 32, issue C, 124-138
Abstract:
In this study, we investigate the interdependence between the bond markets of CEEC-3 (Poland, the Czech Republic, and Hungary) and Germany by using wavelet transform analysis. First, we find that contagion occurred in these markets during the global financial crisis and European debt crisis, at different degrees and in different directions. Second, we show that the degree of bond market integration was relatively high before 2004 for Poland and Hungary and very high for the Czech Republic throughout the sample period. Finally, we find that the interest rate movements in Poland and the Czech Republic mirrored those in Germany for the entire sample period. Implications for investors and policymakers are also suggested.
Keywords: Bond market; Wavelet coherence; Financial integration; Asset price transmission channel (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940815000224
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:32:y:2015:i:c:p:124-138
DOI: 10.1016/j.najef.2015.02.003
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().