A tale of two risks in the EMU sovereign debt markets

被引：2
|
作者：
Akyildirim, Erdinc [1 ]
Duc Khuong Nguyen [2 ]
Sensoy, Ahmet [3 ]
机构：
[1] Univ Zurich, Dept Banking & Finance, Zurich, Switzerland
[2] IPAG Business Sch, IPAG Lab, Paris, France
[3] Bilkent Univ, Fac Business Adm, TR-06800 Ankara, Turkey
来源：
ECONOMICS LETTERS | 2018年 / 172卷
关键词：
European Monetary Union; Sovereign bonds; Systematic risk; Liquidity; LIQUIDITY RISK; BOND MARKET; COMMONALITY;
D O I：
10.1016/j.econlet.2018.08.042
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We introduce time-varying systematic yield risk (SYR) and systematic liquidity risk (SLR) measures for sovereign bond markets of the major European Monetary Union (EMU) country members. Using daily sovereign bond data, our analysis shows that trend components of both types of risk are strongly positively correlated. Vector auto-regression and generalized impulse response analysis reveal that shocks to the SLR has significant impact on SYR lasting up to 5 days, whereas shocks to the SYR has no significant impact on SLR. Since mid-2015, both risks are gradually increasing and as of 2018, they are at their highest levels over the last five years. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：102 / 106
页数：5
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