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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title A tale of two risks in the EMU sovereign debt markets
Organization Unit
Authors
  • Erdinc Akyildirim
  • Duc Khuong Nguyen
  • Ahmet Sensoy
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Journal Title Economics Letters
Publisher Elsevier
Geographical Reach international
ISSN 0165-1765
Volume 172
Page Range 102 - 106
Date 2018
Abstract Text We 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.
Related URLs
Digital Object Identifier 10.1016/j.econlet.2018.08.042
Other Identification Number merlin-id:16793
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