Affiliation:
1. Polytechnic Institute of Setúbal, School of Business and Administration, Esce, Campus do Instituto Politécnico de Setúbal, Estefanilha, 2914-503 Setúbal, Portugal
Abstract
This research aims to test the interdependencies between the Eurozone, US and Japanese debt markets, through the yields of 10-year sovereign bonds. The sample covers the period from 2002:01 to 2019:07. The analysis aims to provide answers to two questions: Has the global financial crisis accentuated the interdependencies in the Eurozone debt markets? If yes, how did it influence the movements in sovereign bond yields? The results suggest that the global financial crisis did not accentuate the levels of interdependence between the main Euro zone debt markets. In addition, the results suggest the existence of high movements in periods of crisis and not crisis. We also found that yields on PIIGS sovereign bonds decreased their interdependencies with their peers in the years 2002 to 2019, with the exception of the Greek debt market.
Publisher
Association of Economists and Managers of the Balkans - Udekom Balkan
Cited by
1 articles.
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