Details
| Original language | English |
|---|---|
| Article number | 13 |
| Journal | Econometrics |
| Volume | 9 |
| Issue number | 1 |
| Publication status | Published - 15 Mar 2021 |
Abstract
It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods of integration and disintegration that coincide with bull and bear market periods in the stock market. An econometric argument about the spectral behavior of long-memory time series leads to the conclusion that there is a stronger differentiation between bonds with different default risks. This implied the possibility of macroeconomic and fiscal divergence between the EMU countries before the crisis periods.
Keywords
- EMU, Fractional cointegration, Market integration, Yield spreads
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Econometrics, Vol. 9, No. 1, 13, 15.03.2021.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Integration and disintegration of emu government bond markets
AU - Leschinski, Christian
AU - Voges, Michelle
AU - Sibbertsen, Philipp
N1 - Funding Information: Funding: Financial support of the Deutsche Forschungsgemeinschaft (DFG, grant number SI 745/9-2) is gratefully acknowledged.
PY - 2021/3/15
Y1 - 2021/3/15
N2 - It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods of integration and disintegration that coincide with bull and bear market periods in the stock market. An econometric argument about the spectral behavior of long-memory time series leads to the conclusion that there is a stronger differentiation between bonds with different default risks. This implied the possibility of macroeconomic and fiscal divergence between the EMU countries before the crisis periods.
AB - It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods of integration and disintegration that coincide with bull and bear market periods in the stock market. An econometric argument about the spectral behavior of long-memory time series leads to the conclusion that there is a stronger differentiation between bonds with different default risks. This implied the possibility of macroeconomic and fiscal divergence between the EMU countries before the crisis periods.
KW - EMU
KW - Fractional cointegration
KW - Market integration
KW - Yield spreads
UR - http://www.scopus.com/inward/record.url?scp=85103841228&partnerID=8YFLogxK
U2 - 10.3390/econometrics9010013
DO - 10.3390/econometrics9010013
M3 - Article
AN - SCOPUS:85103841228
VL - 9
JO - Econometrics
JF - Econometrics
IS - 1
M1 - 13
ER -