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Working paper
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Working paper
New evidence is presented on the sudden shift in the sentiment of market participants with the outbreak of the sovereign debt crisis. Since volatility reflects the extent to which the market evaluates the arrival of new information and provides useful insights into the dynamics of EMU sovereign debt markets, we analyze their spillovers. To that end, we first examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yilmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under stud and to determine whether core and peripheral markets present differences both before and during the crisis periods. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind. Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across countries rather than by idiosyncratic shocks. Besides, they give further support to the idea that during the pre-crisis period, most of the triggers in the volatility spillovers were central countries - peripheral countries imported credibility from them - while during the crisis, peripheral countries became the dominant transmitters.
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In the last half-decade the European Monetary Union (EMU) has experienced a growing financial instability culminating with an extended sovereign debt crisis that has hit mostly the peripheral countries. Besides weak macroeconomic fundamentals, contagion phenomena in the government bond market damaged the countries more exposed to the financial stress. In this paper, the author investigates the issue of contagion applying to the financial field an innovative econometric technique, i.e., panel spatial regression. The paper documents: (i) the presence of contagion, in particular among peripheral countries ; (ii) the changes in the magnitude of contagion in the different phases of the debt crisis ; and (iii) the relevance of policy interventions in reducing the contagion effect in the EMU.
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We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.
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In: Social Sciences: open access journal, Band 4, Heft 1, S. 66-82
ISSN: 2076-0760
In the last half-decade the European Monetary Union (EMU) has experienced a growing financial instability culminating with an extended sovereign debt crisis that has hit mostly the peripheral countries. Besides weak macroeconomic fundamentals, contagion phenomena in the government bond market damaged the countries more exposed to the financial stress. In this paper, the author investigates the issue of contagion applying to the financial field an innovative econometric technique, i.e., panel spatial regression. The paper documents: (i) the presence of contagion, in particular among peripheral countries; (ii) the changes in the magnitude of contagion in the different phases of the debt crisis; and (iii) the relevance of policy interventions in reducing the contagion effect in the EMU.
In: Physica A: Statistical Mechanics and Its Applications, Volume 391, Issue 18, pp. 4342-4349, 2012, DOI: 10.1016/j.physa.2012.04.009
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In: IMF Working Papers v.Working Paper No. 15/141
Foreign holdings of emerging markets (EMs) government bonds have increased substantially over the last decade. While foreign participation in local-currency sovereign bond markets provides an additional source of financing and reduces sovereign yields, it raises concerns about increased sensitivity of yields to shifts in market sentiment. The analysis in this paper suggests that foreign participation and an undiversified investor base transmit global financial shocks to local-currency sovereign bond markets by increasing yield volatility and, beyond a certain threshold, amplify these spillover
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Working paper
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In: Baltussen , G , Martens , MPE & Penninga , O 2021 , ' Factor Investing in Sovereign Bond Markets: Deep Sample Evidence ' , The Journal of Portfolio Management , vol. 48 , no. 2 , pp. 209-225 . https://doi.org/10.3905/jpm.2021.1.311
The authors examine government bond factor premiums in a deep global sample from 1800 to 2020, spanning the major markets and maturities. Bond factors (value, momen- tum, low risk) offer attractive premiums that do not decay across samples, are persistent over time, and are consistent across various market and macroeconomic scenarios. The factor premiums are diversified to each other, as well as to bond or equity market risks. A combined multifactor bond strategy provides the strongest risk-adjusted returns. These results strongly show a consistent added value of government bond factor premiums over a passive bond portfolio.
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In: IMF Working Paper No. 15/141
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We use a Smooth Transition Conditional Correlation GARCH (STCC-GARCH) model applied to the euro area monetary policy rates and sovereign yields of Italy, Spain and Germany at 5-year maturity to estimate the threshold level of the signals above which the sovereign bond market moves to a crisis regime. We show that the threshold to a crisis regime for Italy and Spain is reached when (i) their 5-year sovereign yield spreads amount to 80-90 basis points; (ii) their 5-year CDS spreads amount to 120-130 basis points or (iii) the 5-year spread between the Kreditanstalt für Wiederaufbau (KfW) bond and the German Bund amounts to 25 basis points. Using impulse responses, we find that the STCC-GARCH with the KfW-Bund spread has leading properties, a feature corroborated by the fact that this indicator suggested a shift to a crisis regime already in August 2007 and has been signalling an improvement of the situation already in the autumn of 2012. An out-of-sample forecast of the STCC-GARCH model is also provided, which is both a novelty and a further robustness check for the stability of the model.
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In: Bank of Italy Markets, Infrastructures, Payment Systems Working Paper No. 20
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