Header

UZH-Logo

Maintenance Infos

A tale of two risks in the EMU sovereign debt markets


Akyildirim, Erdinc; Nguyen, Duc Khuong; Sensoy, Ahmet (2018). A tale of two risks in the EMU sovereign debt markets. Economics Letters, 172:102-106.

Abstract

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.

Abstract

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.

Statistics

Citations

Dimensions.ai Metrics
1 citation in Web of Science®
1 citation in Scopus®
Google Scholar™

Altmetrics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:1 November 2018
Deposited On:22 Feb 2019 13:49
Last Modified:25 Sep 2019 00:24
Publisher:Elsevier
ISSN:0165-1765
OA Status:Closed
Publisher DOI:https://doi.org/10.1016/j.econlet.2018.08.042
Related URLs:https://www.sciencedirect.com/science/article/pii/S0165176518303768 (Publisher)
Other Identification Number:merlin-id:16793

Download

Full text not available from this repository.
View at publisher

Get full-text in a library