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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
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:32:y:2015:i:c:p:124-138

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