Nonlinear spillovers between euro area sovereign bond markets
Bibliographic Data
| ID | 7758902 |
|---|---|
| Authors | Silvo Dajcman (0000-0002-9801-0922, University of Maribor, corresponding author) |
| Year | 2015 |
| Volume | 8 |
| Issue | 1 |
| Pages | 28-40 |
| Publication date | 2015-05-20 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economics & Sociology (JOURNAL) |
| Journal identifiers | ISSN: 2071-789X • E-ISSN: 2306-3459 |
| Publisher | Centre of Sociological Research, Szczecin, Poland (PUBLISHER • PL) |
| DOI | 10.14254/2071-789x.2015/8-1/3 |
| OpenAlex | W1133979564 |
| Language | EN |
| Citations received | 3 |
| References cited | 1 |
Th is paper examines nonlinear spillover eff ects between sovereign bond markets of six euro area countries (France, Ireland, Italy, Germany, Portugal, and Spain), four of which were among the hardest hit by the sovereign debt crisis, by applying a nonlinear Granger causality test of Th e test is applied on the sovereign bond yield dynamics (i.e. yield changes) time series for the time pe riod from 3 January 2000 -31 August 2011. We also test for pure spillovers between sovereign bond yield dynamics, i.e. the spillovers after controlling for common and regional factors that impact the sovereign bond yield changes of all countries simultaneously. To verify if the nature of spillovers has changed after the start of the euro are sovereign debt crisis, we test for the nonlinear spillovers for the whole observed period and separately for the period before and after the start of the euro area sovereign debt crisis (period from the start of April 2010 until the end of our sample, i.e. 31 August 2011). Th e results of our study show that strong bi-directional Granger causality exists between the investigated sovereign bond markets. Very similar results are obtained whether the regional and world factors are or are not controlled for. We fi nd strong bi-directional non-linear Granger causality for the investigated euro area countries prior the euro area sovereign debt crisis. After the start of the euro area sovereign debt crisis the interdependence between the markets has reduced. We can no longer detect non-linear spillovers running from Germany and France to the periphery euro area countries. Th e fi ndings of this study have important implications for the policymakers as they show that shocks spill-over quickly across the sovereign bond markets and the intensity and nature of spillovers can change throughout time. Th e sovereign bond markets of the core euro area decoupled from the periphery euro area sovereign bond markets after the start of euro are debt crisis. Th e fi ndings are also of relevance for individual investors in the sovereign bond markets for the purpose of portfolio diversifi cation.
Bond · Bond market · Econometrics · Economics · European debt crisis · European integration · European union · Financial system · Granger causality · International economics · Macroeconomics · Monetary economics · Sovereign debt · Sovereignty · Spillover effect · Yield (engineering) · Finance · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Monetary Policy and Economic Impact
| Citations per year | 0.3 |
|---|---|
| Citation span | 2016 - 2024 (9) |
| Highly cited | No |