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Cross-border asset holdings and comovements in sovereign bond markets
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance. Knut Wicksell Centre for Financial Studies, Sweden.
2018 (English)In: Journal of International Money and Finance, ISSN 0261-5606, E-ISSN 1873-0639, Vol. 86, p. 189-206Article in journal (Refereed) Published
Abstract [en]

We analyze the importance of different asset holdings for the interdependence of the yield curves in the Euro area using a spatial VAR model. We find that the cross-border holdings of long-term debt and bank lending are important for the interdependence. We also find that comovement in the Euro area declines after 2008. We show that this decline is not related to the difference among countries in reacting to shocks from the US during the financial crisis. Rather, it largely reflects the segmentation between GIIPS and non-GIIPS countries. Our analysis of dispersion in sovereign-CDS-spread term structure shows that the differential in sovereign creditworthiness in the Euro area is a main driver of the yield-curve divergence after 2008.

Place, publisher, year, edition, pages
2018. Vol. 86, p. 189-206
Keywords [en]
yield-curve factors, cross-border asset holding, spatial dependence, Euro bond markets, sovereign credit default swap
National Category
Business Administration
Research subject
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-156350DOI: 10.1016/j.jimonfin.2018.04.010ISI: 000434095400010OAI: oai:DiVA.org:su-156350DiVA, id: diva2:1205201
Funder
Swedish Research CouncilTorsten Söderbergs stiftelseAvailable from: 2018-05-11 Created: 2018-05-11 Last updated: 2018-06-25Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • vancouver
  • Other style
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  • de-DE
  • en-GB
  • en-US
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  • nn-NO
  • nn-NB
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Output format
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