| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | European government bond dynamics and stability policies : taming contagion risks |
| Authors: | Schwendner, Peter Schüle, Martin Ott, Thomas Hillebrand, Martin |
| DOI: | 10.21314/JNTF.2015.012 |
| Published in: | Journal of Network Theory in Finance |
| Volume(Issue): | 1 |
| Issue: | 4 |
| Page(s): | 1 |
| Pages to: | 25 |
| Issue Date: | 2015 |
| Publisher / Ed. Institution: | Incisive Media |
| ISSN: | 2055-7795 2055-7809 |
| 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. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/8355 |
| Fulltext version: | Published version |
| License (according to publishing contract): | Licence according to publishing contract |
| Departement: | School of Management and Law |
| Organisational Unit: | Institute of Wealth & Asset Management (IWA) |
| 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 |
Files in This Item:
There are no files associated with this item.
Show full item record
Schwendner, P., Schüle, M., Ott, T., & Hillebrand, M. (2015). European government bond dynamics and stability policies : taming contagion risks. Journal of Network Theory in Finance, 1(4), 1–25. https://doi.org/10.21314/JNTF.2015.012
Schwendner, P. et al. (2015) ‘European government bond dynamics and stability policies : taming contagion risks’, Journal of Network Theory in Finance, 1(4), pp. 1–25. Available at: https://doi.org/10.21314/JNTF.2015.012.
P. Schwendner, M. Schüle, T. Ott, and M. Hillebrand, “European government bond dynamics and stability policies : taming contagion risks,” Journal of Network Theory in Finance, vol. 1, no. 4, pp. 1–25, 2015, doi: 10.21314/JNTF.2015.012.
SCHWENDNER, Peter, Martin SCHÜLE, Thomas OTT und Martin HILLEBRAND, 2015. European government bond dynamics and stability policies : taming contagion risks. Journal of Network Theory in Finance. 2015. Bd. 1, Nr. 4, S. 1–25. DOI 10.21314/JNTF.2015.012
Schwendner, Peter, Martin Schüle, Thomas Ott, and Martin Hillebrand. 2015. “European Government Bond Dynamics and Stability Policies : Taming Contagion Risks.” Journal of Network Theory in Finance 1 (4): 1–25. https://doi.org/10.21314/JNTF.2015.012.
Schwendner, Peter, et al. “European Government Bond Dynamics and Stability Policies : Taming Contagion Risks.” Journal of Network Theory in Finance, vol. 1, no. 4, 2015, pp. 1–25, https://doi.org/10.21314/JNTF.2015.012.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.