Regulatory changes and long-run relationships of the EMU sovereign debt markets: implications for future policy framework

Simple item page
buir.contributor.authorŞensoy, Ahmet
dc.citation.epage105907-14en_US
dc.citation.spage105907-1en_US
dc.citation.volumeNumber63en_US
dc.contributor.authorYıldırım, E.
dc.contributor.authorCorbet, S.
dc.contributor.authorNguyen, D. K.
dc.contributor.authorŞensoy, Ahmet
dc.date.accessioned2021-02-24T11:29:58Z
dc.date.available2021-02-24T11:29:58Z
dc.date.issued2020
dc.departmentDepartment of Managementen_US
dc.description.abstractWe estimate the time-varying long-run correlations of European sovereign bond markets to identify specific effects that are attributed to changing European regulatory and political dynamics over the last twenty years. Our empirical results from using the DCC-MIDAS methodology indicate that regulatory changes in Europe have created significant and negative impact on the long-run correlations within the month where the regulation is decided to be taken into action. This impact still remains in the following months and robust with respect to the trend component of the long-run correlations. A direct implication is that the more regulations the EU attempts to put in place, the lower the long-run convergence process of sovereign bond markets is. We then analyse the structural shifts in the long-run correlation dynamics with penalized contrasts methodology and try to find out the reasons of these severe changes. Accordingly, some of the structural shifts overlap with the dates of a limited number of regulatory changes, in addition to the major global economic and political events.en_US
dc.embargo.release2022-09-01
dc.identifier.doi10.1016/j.irle.2020.105907en_US
dc.identifier.issn0144-8188
dc.identifier.urihttp://hdl.handle.net/11693/75555
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.irle.2020.105907en_US
dc.source.titleInternational Review of Law and Economicsen_US
dc.subjectDCC-MIDASen_US
dc.subjectEuropean Unionen_US
dc.subjectSovereign bondsen_US
dc.subjectRegulationen_US
dc.subjectFinancial crisisen_US
dc.titleRegulatory changes and long-run relationships of the EMU sovereign debt markets: implications for future policy frameworken_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Regulatory_changes_and_long-run_relationships_of_the_EMU_sovereign_debt_markets_Implications_for_future_policy_framework.pdf
Size:
1.88 MB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Department of Management