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Title:Asymmetric correlation of sovereign bond yield dynamics in the Eurozone
Authors:Dajčman, Silvo (Author)
Files:.pdf Panoeconomicus_2013_Dajcman_Asymmetric_correlation_of_sovereign_bond_yield_dynamics_in_the_Eurozone.pdf (470,77 KB)
 
URL http://www.doiserbia.nb.rs/Article.aspx?ID=1452-595X1306775D
 
Language:English
Work type:Scientific work (r2)
Typology:1.01 - Original Scientific Article
Organization:EPF - Faculty of Business and Economics
Abstract:This paper examines the symmetry of correlation of sovereign bond yield dynamics between eight Eurozone countries (Austria, Belgium, France, Germany, Ireland, Italy, Portugal, and Spain) in the period from January 3, 2000 to August 31, 2011. Asymmetry of correlation is investigated pair-wise by applying the test of Yongmiao Hong, Jun Tu, and Guofu Zhou (2007). Whereas the test of Hong, Tu, and Zhou (2007) is static, the present paper provides also a dynamic version of the test and identifies time periods when the correlation of Eurozone sovereign bond yield dynamics became asymmetric. We identified seven pairs of sovereign bond markets for which the null hypothesis of symmetry in correlation of sovereign bond yield dynamics can be rejected. Calculating rolling-window exceedance correlation, we found that the time-varying upper- (i.e. for positive yield changes) and lower-tail correlations (i.e. for negative yield changes) for pair-wise observed sovereign bond markets normally follow each other closely, yet during some time periods (for most pair-wise observed countries, these periods are around the September 11 attack on the New York City WTC and around the start of the Greek debt crisis) the difference in correlation does increase. The results show that the upper- and lower-tail correlation was symmetric before the Eurozone debt crisis for most of the pair-wise observed sovereign bond markets but has become much less symmetric since then.
Keywords:asymmetric correlation, sovereign bonds, Eurozone, financial crisis
Year of publishing:2013
Number of pages:str. 775-789
Numbering:št. 6, Letn. 60
ISSN:1452-595X
UDC:338.124.4:336.763.33(061.1EU)
ISSN on article:1452-595X
URN:URN:SI:UM:DK:K978NGQ3
COBISS_ID:11605788 Link is opened in a new window
DOI:10.2298/PAN1306775D Link is opened in a new window
License:CC BY 4.0
This work is available under this license: Creative Commons Attribution 4.0 International
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Record is a part of a journal

Title:Panoeconomicus
Publisher:Savez ekonomista Vojvodine
ISSN:1452-595X
COBISS.SI-ID:1444238 New window

Secondary language

Language:Slovenian
Keywords:obveznice, korelacije, finančna kriza, ekonometrični modeli, EU


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