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Bond Yields Movement Similarities and Synchronization in the G7: A Time–Frequency Analysis

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  • João Martins

    (University of Minho (NIPE)
    United Nations University (UNU-EGOV))

Abstract

This paper uses wavelet coherencies and a wavelet dissimilarity index to study the similarities and synchronization of government bond yield movements in the G7. Using monthly data, going from January 1980 to September 2018, the analysis finds a high degree of synchronization among the seven government bond yield series. The Great Recession is associated with breaks in several time–frequency regions of statistically significant coherencies. The European convergence process and the introduction of the euro are associated with more statistically significant time–frequency regions of high coherencies among the euro area countries. Language, economic, and political factors appear to exert influence on the degree of synchronization between countries, as a higher level of synchronization is observed amongst the anglophone countries and the euro area countries.

Suggested Citation

  • João Martins, 2022. "Bond Yields Movement Similarities and Synchronization in the G7: A Time–Frequency Analysis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 189-214, July.
    • Handle: RePEc:spr:jbuscr:v:18:y:2022:i:2:d:10.1007_s41549-022-00068-8
    DOI: 10.1007/s41549-022-00068-8
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    More about this item

    Keywords

    G7; Government bond yields; Synchronization; Wavelet coherency; Wavelet dissimilarity index;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • E49 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Other
    • F49 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Other

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