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The time-varying integration of euro area government bond markets

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  1. D’Agostino, Antonello & Ehrmann, Michael, 2014. "The pricing of G7 sovereign bond spreads – The times, they are a-changin," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 155-176.
  2. Pilar Abad & Helena Chuliá, 2014. "European government bond market integration in turbulent times," Working Papers 2014-08, Universitat de Barcelona, UB Riskcenter.
  3. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
  4. Alexander Ludwig, 2014. "Credit risk-free sovereign bonds under Solvency II: a cointegration analysis with consistently estimated structural breaks," Applied Financial Economics, Taylor & Francis Journals, vol. 24(12), pages 811-823, June.
  5. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets," Economic Modelling, Elsevier, vol. 52(PB), pages 981-996.
  6. Christiansen, Charlotte, 2014. "Integration of European bond markets," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 191-198.
  7. Antonakakis, Nikolaos, 2012. "Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades," MPRA Paper 43013, University Library of Munich, Germany.
  8. Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2018. "Bid-to-cover and yield changes around public debt auctions in the euro area," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 118-134.
  9. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.
  10. Lucey, Brian M. & Vigne, Samuel A. & Ballester, Laura & Barbopoulos, Leonidas & Brzeszczynski, Janusz & Carchano, Oscar & Dimic, Nebojsa & Fernandez, Viviana & Gogolin, Fabian & González-Urteaga, Ana , 2018. "Future directions in international financial integration research - A crowdsourced perspective," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 35-49.
  11. Piljak, Vanja & Swinkels, Laurens, 2017. "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 232-255.
  12. Berger, Tino & Pozzi, Lorenzo, 2013. "Measuring time-varying financial market integration: An unobserved components approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 463-473.
  13. Ahmet Sensoy & Duc Khuong Nguyen & Ahmed Rostom & Erk Hacihasanoglu, 2019. "Dynamic integration and network structure of the EMU sovereign bond markets," Annals of Operations Research, Springer, vol. 281(1), pages 297-314, October.
  14. Juodžiukynienė Greta, 2016. "The Significance of Country-Specific and Common Risk Factors for CEE Government Bond Spreads Changes," Ekonomika (Economics), Sciendo, vol. 95(1), pages 84-111, January.
  15. Gupta, Priyanshi & Sehgal, Sanjay & Deisting, Florent, 2015. "Time-Varying Bond Market Integration in EMU," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 30(4), pages 708-760.
  16. Antonakakis, Nikolaos & Christou, Christina & Cunado, Juncal & Gupta, Rangan, 2017. "Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 129-139.
  17. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Hanson, Jesper, 2016. "Domestic and Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area," CEPR Discussion Papers 11122, C.E.P.R. Discussion Papers.
  18. Mayordomo, Sergio & Abascal, María & Alonso, Tatiana & Rodriguez-Moreno, Maria, 2015. "Fragmentation in the European interbank market: Measures, determinants, and policy solutions," Journal of Financial Stability, Elsevier, vol. 16(C), pages 1-12.
  19. Niels Gilbert, 2019. "Euro area sovereign risk spillovers before and after the ECB's OMT announcement," DNB Working Papers 636, Netherlands Central Bank, Research Department.
  20. van der Wel, M., 2020. "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management 124748, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
  21. Johannes W. Fedderke, 2021. "The South African–United States sovereign bond spread and its association with macroeconomic fundamentals," South African Journal of Economics, Economic Society of South Africa, vol. 89(4), pages 499-525, December.
  22. Jana Riedel, 2020. "On real interest rate convergence among G7 countries," Empirical Economics, Springer, vol. 59(2), pages 599-626, August.
  23. Robin Greenwood & Samuel G. Hanson & Jeremy C. Stein & Adi Sunderam, 2020. "A Quantity-Driven Theory of Term Premia and Exchange Rates," NBER Working Papers 27615, National Bureau of Economic Research, Inc.
  24. Andrea Cipollini & Jerry Coakley & Hyunchul Lee, 2015. "The European sovereign debt market: from integration to segmentation," The European Journal of Finance, Taylor & Francis Journals, vol. 21(2), pages 111-128, January.
  25. Ginanjar Dewandaru & Rumi Masih & Mansur Masih, 2018. "Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 859-880, March.
  26. Paulo M.M. Rodrigues & Philipp Sibbertsen, 2019. "Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium," Working Papers w201912, Banco de Portugal, Economics and Research Department.
  27. Bhatt, Vipul & Kishor, N Kundan & Ma, Jun, 2017. "The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 206-222.
  28. Johannes W. Fedderke, 2020. "Is the Phillips curve framework still useful for understanding inflation dynamics in South Africa," Working Papers 10142, South African Reserve Bank.
  29. Samir Kadiric, 2020. "The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit," EIIW Discussion paper disbei271, Universitätsbibliothek Wuppertal, University Library.
  30. Sakemoto, Ryuta, 2018. "Co-movement between equity and bond markets," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 25-38.
  31. Bolós, V.J. & Benítez, R. & Ferrer, R. & Jammazi, R., 2017. "The windowed scalogram difference: A novel wavelet tool for comparing time series," Applied Mathematics and Computation, Elsevier, vol. 312(C), pages 49-65.
  32. Samir Kadiric, 2022. "The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit," International Economics and Economic Policy, Springer, vol. 19(2), pages 267-298, May.
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