Header

UZH-Logo

Maintenance Infos

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 (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.

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 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.

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 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.

Statistics

Citations

Dimensions.ai Metrics

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
Scopus Subject Areas:Social Sciences & Humanities > Finance
Social Sciences & Humanities > Economics and Econometrics
Social Sciences & Humanities > Law
Language:English
Date:September 2020
Deposited On:03 Feb 2021 08:15
Last Modified:04 Feb 2021 21:00
Publisher:Elsevier
ISSN:0144-8188
OA Status:Closed
Publisher DOI:https://doi.org/10.1016/j.irle.2020.105907
Official URL:https://www.sciencedirect.com/science/article/pii/S0144818819301991
Other Identification Number:merlin-id:20612

Download

Full text not available from this repository.
View at publisher

Get full-text in a library