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

Akyildirim, Erdinc; Corbet, Shaen; Nguyen, Duc Khuong; Sensoy, Ahmet

doi:10.1016/j.irle.2020.105907

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Akyildirim, E., Corbet, S., Nguyen, D. K., & Sensoy, A. (2020). Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework. International Review of Law and Economics, 63, 105907. https://doi.org/10.1016/j.irle.2020.105907

Abstract

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 respec