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European sovereign debt crisis and linkage of long-term government bond yields

Author

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  • Go Tamakoshi

    () (Graduate School of Economics, Kobe University)

Abstract

Based on the robust cross-correlation function approach developed by Hong (2001), this paper investigates the causality-in-mean and the causality-in-variance of long-term bond yields in seven countries including “PIIGS” (Portugal, Ireland, Italy, Greece, and Spain), Germany, and France. A main contribution of the study is to assess the impacts of the recent European sovereign debt crisis on relationships of the bond yields. We find some evidence of the mean spillover effects, especially from Portugal and France before the crisis and from Portugal and Italy after the crisis. In contrast, the variance spillover effects from Germany interestingly strengthened through the debt crisis in particular despite the apparent lack of its mean transmission effects, whilst major sources of volatility spillover effects had been Portugal and France prior to the crisis.

Suggested Citation

  • Go Tamakoshi, 2011. "European sovereign debt crisis and linkage of long-term government bond yields," Economics Bulletin, AccessEcon, vol. 31(3), pages 2191-2203.
  • Handle: RePEc:ebl:ecbull:eb-11-00334
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    Cited by:

    1. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, pages 344-352.
    2. Takashi Miyazaki & Shigeyuki Hamori, 2013. "Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’," Applied Financial Economics, Taylor & Francis Journals, pages 27-40.
    3. Tomás Del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2015. "On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, pages 495-511.
    4. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 8, pages 1-43.
    5. Bruce Q. Budd, 2016. "Structural break tests and the Greek sovereign debt crisis: revisited," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(3), pages 607-622, July.
    6. Renatas Kizys & Christian Pierdzioch, 2011. "Contagious speculative bubbles: A note on the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages 296-296.
    7. Christian Rudolf RICHTER & Bachar FAKHRY, 2016. "Testing the Efficiency of the GIPS Sovereign Debt Markets using an Asymmetrical Volatility Test," Journal of Economics and Political Economy, KSP Journals, vol. 3(3), pages 524-535, September.
    8. Go Tamakoshi & Shigeyuki Hamori, 2014. "Greek sovereign bond index, volatility, and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 687-697, October.
    9. Vítor Caldeirinha & J. Augusto Felício & Andreia Dionísio, 2013. "Effect of the container terminal characteristics on performance," CEFAGE-UE Working Papers 2013_13, University of Evora, CEFAGE-UE (Portugal).
    10. repec:eee:eneeco:v:66:y:2017:i:c:p:217-227 is not listed on IDEAS

    More about this item

    Keywords

    Volatility spillover; European sovereign debt crisis;

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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