A tale of two risks in the EMU sovereign debt markets

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buir.contributor.authorŞensoy, Ahmet
dc.citation.epage106en_US
dc.citation.spage102en_US
dc.citation.volumeNumber172en_US
dc.contributor.authorAkyıldırım, E.en_US
dc.contributor.authorNguyen, D. K.en_US
dc.contributor.authorŞensoy, Ahmeten_US
dc.date.accessioned2019-02-21T16:01:31Z
dc.date.available2019-02-21T16:01:31Z
dc.date.issued2018-09en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractWe 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.
dc.embargo.release2020-11-01en_US
dc.identifier.doi10.1016/j.econlet.2018.08.042
dc.identifier.issn0165-1765
dc.identifier.urihttp://hdl.handle.net/11693/49865
dc.language.isoEnglish
dc.publisherElsevier B.V.
dc.relation.isversionofhttps://doi.org/10.1016/j.econlet.2018.08.042
dc.source.titleEconomics Lettersen_US
dc.subjectEuropean Monetary Unionen_US
dc.subjectLiquidityen_US
dc.subjectSovereign bondsen_US
dc.subjectSystematic risken_US
dc.titleA tale of two risks in the EMU sovereign debt marketsen_US
dc.typeArticleen_US

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