Dependence structure between CEEC-3 and German government securities markets

Lu Yang and Shigeyuki Hamori

Journal of International Financial Markets, Institutions and Money, 2014, vol. 29, issue C, 109-125

Abstract: We use copula models to investigate the structural dependence between CEEC-3 (Poland, the Czech Republic, and Hungary) and German bond markets from 2000 to 2012. We evaluate the degree of financial integration and dependence structure changes in government securities markets following European monetary integration and, first, find that integration between CEEC-3 and Germany is greater for the long-term interest rate but decreased during the crisis period. Second, the dependence between the Czech Republic and Poland increased significantly since EU accession before the recent financial crises occurred. Finally, the structural dependence between CEEC-3 and German government securities markets is generally symmetric.

Keywords: Government securities market; EU accession; Financial integration; Copula function; Goodness-of-fit test (search for similar items in EconPapers)
JEL-codes: F33 G12 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:29:y:2014:i:c:p:109-125

DOI: 10.1016/j.intfin.2013.12.003

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