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• W1500000061 abstract "This paper investigates the comovement of long-term government bond yields in the Eurozone. Themethods used for identifying trends and are cointegration and SCCF (serialcorrelation feature). These low and high frequency comovement analyses based on asymptoticcritical values fail to identify the almost perfect convergence of 10 year sovereign bond yields.After adjusting for heteroscedasticity we find strong evidence for similar cyclical movements anda reduced number of common cycles for two separate groups (core and periphery). This confirmsthe hypothesis that in the European EMU (Economic and Monetary Union) the perceived risk of memberstates has converged. Based on the explanatory power of and idiosyncratic components, weobserve that sovereign yields are mainly driven by risk factors and to a reduced degree bycountry specific characteristics. We investigate wether our results are affected by the recentsovereign debt crisis. With some notable exceptions, we find only small declines in theexplanatory power of the component. In line with recent literature on increased generalrisk aversion during times of stress, some policy implications for the currency area areformulated." @default.
• W1500000061 created "2016-06-24" @default.
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• W1500000061 date "2012-01-01" @default.
• W1500000061 modified "2023-09-25" @default.
• W1500000061 title "Government bond market dynamics and sovereign risk: systemic or idiosyncratic?" @default.
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• W1500000061 doi "https://doi.org/10.26481/umamet.2012032" @default.
• W1500000061 hasPublicationYear "2012" @default.
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