Title: European government bond dynamics and stability policies : taming contagion risks
Authors : Schwendner, Peter
Schuele, Martin
Ott, Thomas
Hillebrand, Martin
Published in : Journal of Network Theory in Finance
Volume(Issue) : 1
Issue : 4
Pages : 1
Pages to: 25
Publisher / Ed. Institution : Incisive Media
Issue Date: 7-Dec-2015
License (according to publishing contract) : Licence according to publishing contract
Type of review: Not specified
Language : English
Subjects : ESM; FinTech; Contagion risk
Subject (DDC) : 332: Financial economics
Abstract: From 2004 to 2015, the market perception of the sovereign risks of euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. "Core" and "peripheral" bonds cluster in a bloc-like structure, but the correlations between the blocs are timedependent and even become negative in periods of stress. Using noise-filtered partial correlation influences, this time-dependency can be evaluated and visualized using network graphs. Our results support the view that market-implied spillover risks have decreased since the European rescue and stability mechanisms came into force in 2011. EFSF bond issues have been trading as part of the "core" bloc since 2011. In 2015, spillover risks reappeared during the Eurogroup's negotiations with Greece, although the periphery yields did not show risk spreads that were as large as those in 2012.
Departement: School of Management and Law
Organisational Unit: Institute of Wealth and Asset Management (IWA)
Publication type: Article in scientific Journal
DOI : 10.21314/JNTF.2015.012
ISSN: 2055-7795
2055-7809
URI: https://digitalcollection.zhaw.ch/handle/11475/8355
Published as part of the ZHAW project : European government bond dynamics and stability policies: taming contagion risks
Appears in Collections:Publikationen School of Management and Law

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