Correlation between Maltese and euro area sovereign bond yields
This paper investigates correlation in Malta government stock (MGS) yields and assesses correlation between these yields and those of Malta’s major euro area partners. Correlation coefficients are found to be high, indicating the existence of a long-run relationship in the setting of MGS yields with short-term deviations. The analysis also includes an MGARCH-DCC(1,1) system based on spreads over the German ten-year bond, which are modelled for eleven euro area countries. Dynamic conditional correlations (DCCs) confirm that Maltese ten-year bond yields tend to be broadly insulated from event specific volatility in other countries’ yields. Simple ‘benchmark’ regressions are estimated over the period 2007 – 2016, allowing the comparison of actual ten-year bond yields with composite equation outputs. The benchmarked yields based on euro area bonds track consistently actual MGS yields, while from mid-2015 onwards, MGS yields follow closely a benchmark derived on the basis of underlying economic fundamentals.
|Date of creation:||Jun 2017|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Ellul, Reuben, 2015. "Analysing correlation between the MSE index and global stock markets," MPRA Paper 72464, University Library of Munich, Germany.
- Ioana Alexopoulou & Irina Bunda & Annalisa Ferrando, 2010.
"Determinants of Government Bond Spreads in New EU Countries,"
Eastern European Economics,
Taylor & Francis Journals, vol. 48(5), pages 5-37, September.
- Ioana Alexopoulou & Irina Bunda & Annalisa Ferrando, 2010. "Determinants of Government Bond Spreads in New EU Countries," Eastern European Economics, M.E. Sharpe, Inc., vol. 48(5), pages 5-37, September.
- Alexopoulou, Ioana & Bunda, Irina & Ferrando, Annalisa, 2009. "Determinants of government bond spreads in new EU countries," Working Paper Series 1093, European Central Bank.
- Karen Caruana & Christopher Pace, 2013. "Household finance and consumption survey in Malta: main results of 2010 exercise," CBM Working Papers WP/02/2013, Central Bank of Malta.
- Riccardo Faini, 2006. "Fiscal policy and interest rates in Europe," Economic Policy, CEPR;CES;MSH, vol. 21(47), pages 443-489, July.
- Grech, Aaron George, 2014. "The demand for currency in Malta," MPRA Paper 53878, University Library of Munich, Germany.
- 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, April.
- Eric T. Swanson, 2008. "Convergence of long-term bond yields in the euro area," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue nov21.
- Aaron George GRECH, 2014. "The Demand For Currency In Malta," Journal of Applied Economic Sciences Quarterly, ASERS Publishing, vol. 0(1), pages 49-55, August.
- Engle, Robert F, 2000. "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," University of California at San Diego, Economics Working Paper Series qt56j4143f, Department of Economics, UC San Diego.
- Aaron George GRECH, 2014. "The Demand For Currency In Malta," Theoretical and Practical Research in Economic Fields, ASERS Publishing, vol. 0(1), pages 49-55, June.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:80795. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.