Dynamic integration and network structure of the EMU sovereign bond markets

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buir.contributor.authorŞensoy, Ahmet
dc.citation.epage314en_US
dc.citation.issueNumber1-2en_US
dc.citation.spage297en_US
dc.citation.volumeNumber281en_US
dc.contributor.authorŞensoy, Ahmeten_US
dc.contributor.authorNguyen, D. K.en_US
dc.contributor.authorRostom, A.en_US
dc.contributor.authorHacıhasanoğlu, E.en_US
dc.date.accessioned2020-02-03T12:31:55Z
dc.date.available2020-02-03T12:31:55Z
dc.date.issued2019
dc.departmentDepartment of Managementen_US
dc.description.abstractIn 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.en_US
dc.description.provenanceSubmitted by Zeynep Aykut (zeynepay@bilkent.edu.tr) on 2020-02-03T12:31:55Z No. of bitstreams: 1 Dynamic_integration_and_network_structure_of_the_EMU_sovereign_bond_markets.pdf: 985318 bytes, checksum: ecb015a5b8b305950f31e1f605684356 (MD5)en
dc.description.provenanceMade available in DSpace on 2020-02-03T12:31:55Z (GMT). No. of bitstreams: 1 Dynamic_integration_and_network_structure_of_the_EMU_sovereign_bond_markets.pdf: 985318 bytes, checksum: ecb015a5b8b305950f31e1f605684356 (MD5) Previous issue date: 2019en
dc.identifier.doi10.1007/s10479-018-2831-1en_US
dc.identifier.issn0254-5330
dc.identifier.urihttp://hdl.handle.net/11693/53000
dc.language.isoEnglishen_US
dc.publisherSpringeren_US
dc.relation.isversionofhttps://dx.doi.org/10.1007/s10479-018-2831-1en_US
dc.source.titleAnnals of Operations Researchen_US
dc.subjectEuropean Economic and Monetary Unionen_US
dc.subjectMonetary policyen_US
dc.subjectNetwork analysisen_US
dc.subjectSovereign debten_US
dc.subjectTaperingen_US
dc.titleDynamic integration and network structure of the EMU sovereign bond marketsen_US
dc.typeArticleen_US

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