Time-scale analysis of co-movement in EU sovereign bond markets

Filip Smolik and Lukas Vacha

Papers from arXiv.org

Abstract: We study the co-movement of the 10-year sovereign bond yields of 11 EU countries. Our analysis is focused mainly on changes in co-movement during the financial crisis period, especially around two significant dates - the fall of Lehman Brothers, September 15, 2008, and the announcement of the increase of Greece's public deficit on October 20, 2009. We study co-movement dynamics using wavelet analysis, which allows us to observe how co-movement changes across frequencies and over time. We divide the countries into three groups: the core of the Eurozone, the periphery of the Eurozone and the states outside the Eurozone. The results indicate that co-movement decreased considerably during the crisis period for all country pairs but that there are significant differences among the groups. Furthermore, we demonstrate that the co-movement of bond yields is frequency (scale) dependent.

Date: 2015-06, Revised 2016-03
New Economics Papers: this item is included in nep-eec and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1506.03347 Latest version (application/pdf)

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:arx:papers:1506.03347

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().