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      Dynamic integration and network structure of the EMU sovereign bond markets

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      Author
      Şensoy, Ahmet
      Nguyen, D. K.
      Rostom, A.
      Hacıhasanoğlu, E.
      Date
      2019
      Source Title
      Annals of Operations Research
      Print ISSN
      0254-5330
      Publisher
      Springer
      Volume
      281
      Issue
      1-2
      Pages
      297 - 314
      Language
      English
      Type
      Article
      Item Usage Stats
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      Abstract
      In this paper, we propose a novel concept of correlation-based stable networks to empirically investigate the dynamic integration and network structure of the European Monetary Union (EMU) sovereign bond markets. The obtained results uncover a high degree of market integration between sample markets over the period preceding the recent financial crises, while segmentation is found afterwards. The stable network analysis shows, for its part, the existence of two different network structures before and after the onset of the European debt crisis, where the in-crisis network structure is characterized by two groups of countries with respect to their fiscal performance. In particular, Belgium is the unique vertex connecting the two groups, making it the channel for shock transmission in the event of worsening debt crisis in the EMU.
      Keywords
      European Economic and Monetary Union
      Monetary policy
      Network analysis
      Sovereign debt
      Tapering
      Permalink
      http://hdl.handle.net/11693/53000
      Published Version (Please cite this version)
      https://dx.doi.org/10.1007/s10479-018-2831-1
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