Naslov
Searching high and low : extremal dependence of international sovereign bond markets

Autori
Basrak, Bojan ; Posedel Šimović, Petra ; Tkalec, Marina ; Vizek, Maruška

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
24th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics

Mjesto i datum
Tuscaloosa (AL), Sjedinjene Američke Države, 10.03.2016. - 11.03.2016

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
sovereign bond spreads ; extremal value theory ; tail dependence

Sažetak
This paper examines the degree of interdependence among sovereign bond markets in 24 developed and developing countries during times of stress or crisis using extreme value theory. We discuss tail behavior of individual sovereign bond spreads and compare the shape of that tail to exponential and power-law distributions. We proceed by estimating bivariate tail dependence index χ and search for the evidence of asymptotic tail dependence in sovereign bond spreads series. In order to establish the statistical significance of estimated bivariate tail dependence indices, we construct a bootstrap-based approach to searching for the presence of asymptotic tail dependence derived on the basis of Davis et al. (2012). Our empirical findings suggest that the US bond market does not exhibit extreme right tail co-movements with European sovereign bond market turbulences. Even though the UK did not adopt the euro, its sovereign bond market exhibits statistically significant right tail dependencies with a number of Eurozone bond markets, possibly indicating that it is not immune to financial distress originating from the EMU. New EU member states exhibit more frequent right tail dependencies with other new EU member states when compared to old EU members.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA