Bond Yields Movement Similarities and Synchronization in the G7: A Time–Frequency Analysis

João Martins

Journal of Business Cycle Research, 2022, vol. 18, issue 2, No 4, 189-214

Abstract: Abstract This paper uses wavelet coherencies and a wavelet dissimilarity index to study the similarities and synchronization of government bond yield movements in the G7. Using monthly data, going from January 1980 to September 2018, the analysis finds a high degree of synchronization among the seven government bond yield series. The Great Recession is associated with breaks in several time–frequency regions of statistically significant coherencies. The European convergence process and the introduction of the euro are associated with more statistically significant time–frequency regions of high coherencies among the euro area countries. Language, economic, and political factors appear to exert influence on the degree of synchronization between countries, as a higher level of synchronization is observed amongst the anglophone countries and the euro area countries.

Keywords: G7; Government bond yields; Synchronization; Wavelet coherency; Wavelet dissimilarity index (search for similar items in EconPapers)
JEL-codes: C32 C49 E49 F49 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s41549-022-00068-8

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