Causality in the EMU sovereign bond markets

Mariano González-Sánchez
Authors registered in the RePEc Author Service: Mariano Gonzalez Sanchez

Finance Research Letters, 2018, vol. 26, issue C, 281-290

Abstract: Sovereign debt markets can be mechanisms of contagion for financial policy interventions, and financial risks in general. This study tests causality in-mean and in-variance on a full interest rate curve. The results for a daily sample of sovereign bond market prices (from France, Germany, Italy, Spain, Switzerland, the United Kingdom and the United States), show that latent factors of the United Stated (long-term) and Germany (short-term) are the main drivers of causality in-mean. The causality in-variance results show that the effect is mostly in the Economic and Monetary Union, highlighting Spain as the main driver.

Keywords: Asymmetric causality; Sovereign bond market; Nelson–Siegel (search for similar items in EconPapers)
JEL-codes: E58 F34 F36 G12 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612317305238
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:finlet:v:26:y:2018:i:c:p:281-290

DOI: 10.1016/j.frl.2018.02.020

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().