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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework
Organization Unit
Authors
  • Erdinc Akyildirim
  • Shaen Corbet
  • Duc Khuong Nguyen
  • Ahmet Sensoy
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Journal Title International Review of Law and Economics
Publisher Elsevier
Geographical Reach international
ISSN 0144-8188
Volume 63
Page Range 105907
Date 2020
Abstract Text We 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.
Official URL https://www.sciencedirect.com/science/article/pii/S0144818819301991
Digital Object Identifier 10.1016/j.irle.2020.105907
Other Identification Number merlin-id:20612
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