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Type | Journal Article |
Scope | Discipline-based scholarship |
Title | A tale of two risks in the EMU sovereign debt markets |
Organization Unit | |
Authors |
|
Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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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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