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Dependence structure between CEEC-3 and German government securities markets

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  • Yang, Lu
  • Hamori, Shigeyuki

Abstract

We use copula models to investigate the structural dependence between CEEC-3 (Poland, the Czech Republic, and Hungary) and German bond markets from 2000 to 2012. We evaluate the degree of financial integration and dependence structure changes in government securities markets following European monetary integration and, first, find that integration between CEEC-3 and Germany is greater for the long-term interest rate but decreased during the crisis period. Second, the dependence between the Czech Republic and Poland increased significantly since EU accession before the recent financial crises occurred. Finally, the structural dependence between CEEC-3 and German government securities markets is generally symmetric.

Suggested Citation

  • Yang, Lu & Hamori, Shigeyuki, 2014. "Dependence structure between CEEC-3 and German government securities markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 109-125.
    • Handle: RePEc:eee:intfin:v:29:y:2014:i:c:p:109-125
    DOI: 10.1016/j.intfin.2013.12.003
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    3. Yang, Lu & Yang, Lei & Ho, Kung-Cheng & Hamori, Shigeyuki, 2020. "Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach," Journal of Asian Economics, Elsevier, vol. 68(C).
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    8. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2016. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(11), pages 2595-2609, November.
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    More about this item

    Keywords

    Government securities market; EU accession; Financial integration; Copula function; Goodness-of-fit test;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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