Government bond market linkages within EMU: evidence from a multivariate Granger causality analysis
AbstractThe paper investigates empirically and from a dynamic perspective the causality relationships between the different EMU's government bond markets. We focus on two main periods: the pre-crisis period (from November 2003 to September 2008), and the crisis period (from September 2008 to February 2013). Using a multivariate Granger causality approach, we find that the integration of government bond markets is week, and the number and the direction of causality change during the crisis. Furthermore, countries exhibit different paths of financial convergence with Germany that we consider to be virtually free of risk, especially during the crisis period. These findings have implications for investors in terms of the diversification of their portfolios, and for policymakers in terms of managing common monetary policy.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 33 (2013)
Issue (Month): 3 ()
Contact details of provider:
Debt; government bond markets; euro zone crisis; multivariate Granger causality;
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Simone Manganelli & Guido Wolswijk, 2009. "What drives spreads in the euro area government bond market?," Economic Policy, CEPR & CES & MSH, vol. 24, pages 191-240, 04.
- Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2009.
"Government Bond Risk Premiums in the EU revisited: The Impact of the Financial Crisis,"
CEPR Discussion Papers
7499, C.E.P.R. Discussion Papers.
- von Hagen, Jürgen & Schuknecht, Ludger & Wolswijk, Guido, 2011. "Government bond risk premiums in the EU revisited: The impact of the financial crisis," European Journal of Political Economy, Elsevier, vol. 27(1), pages 36-43, March.
- Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2010. "Government bond risk premiums in the EU revisited: the impact of the financial crisis," Working Paper Series 1152, European Central Bank.
- Charlotte Christiansen, 2007. "Volatility-Spillover Effects in European Bond Markets," European Financial Management, European Financial Management Association, vol. 13(5), pages 923-948.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Yang, Jian, 2005. "International bond market linkages: a structural VAR analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(1), pages 39-54, January.
- Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
- repec:hal:cesptp:hal-00845660 is not listed on IDEAS
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.