Dynamic integration and network structure of the EMU sovereign bond markets

Ahmet Sensoy, Duc Khuong Nguyen, Ahmed Rostom and Erk Hacihasanoglu
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Ahmed Rostom: The World Bank
Erk Hacihasanoglu: Abdullah Gul University

Annals of Operations Research, 2019, vol. 281, issue 1, No 14, 297-314

Abstract: Abstract In this paper, we propose a novel concept of correlation-based stable networks to empirically investigate the dynamic integration and network structure of the European Monetary Union (EMU) sovereign bond markets. The obtained results uncover a high degree of market integration between sample markets over the period preceding the recent financial crises, while segmentation is found afterwards. The stable network analysis shows, for its part, the existence of two different network structures before and after the onset of the European debt crisis, where the in-crisis network structure is characterized by two groups of countries with respect to their fiscal performance. In particular, Belgium is the unique vertex connecting the two groups, making it the channel for shock transmission in the event of worsening debt crisis in the EMU.

Keywords: Sovereign debt; European Economic and Monetary Union; Network analysis; Monetary policy; Tapering (search for similar items in EconPapers)
JEL-codes: E44 G02 G12 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (19)

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Working Paper: Dynamic Integration and Network Structure of the EMU Sovereign Bond Markets (2018)
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DOI: 10.1007/s10479-018-2831-1

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