A Tale of Two Risks in the EMU Sovereign Debt Markets

Erdinc Akyildirim, Duc Khuong Nguyen and Ahmet Sensoy

No 2018-004, Working Papers from Department of Research, Ipag Business School

Abstract: We introduce time-varying systematic yield risk (SYR) and systematic liquidity risk (SLR) measures for sovereign bond markets of the major European Monetary Union (EMU) country members. Using daily sovereign bond data, our analysis shows that trend components of both types of risk are strongly positively correlated. Vector auto-regression and generalized impulse response analysis reveal that shocks to the SLR has significant impact on SYR lasting up to 5 days, whereas shocks to the SYR has no significant impact on SLR. Since mid-2015, both risks are gradually increasing and as of 2018, they are at their highest levels over the last five years.

Keywords: European Monetary Union; Sovereign Bonds; Systematic Risk; Liquidity (search for similar items in EconPapers)
JEL-codes: G01 G13 G14 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2018-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://faculty-research.ipag.edu/wp-content/uploa ... IPAG_WP_2018_004.pdf (application/pdf)

Related works:
Journal Article: A tale of two risks in the EMU sovereign debt markets (2018)
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:ipg:wpaper:2018-004

Access Statistics for this paper

More papers in Working Papers from Department of Research, Ipag Business School Contact information at EDIRC.
Bibliographic data for series maintained by Ingmar Schumacher (ingmar.schumacher@ipag.fr).