Advanced search ?

Object

The short-term relationships among the U.S., German and Greek bond markets in times of financial crises. A Bayesian analysis of exogeneity in the VAR-SV model
Download

Title: The short-term relationships among the U.S., German and Greek bond markets in times of financial crises. A Bayesian analysis of exogeneity in the VAR-SV model

Creator:

Modrzejewska, Anita ; Pajor, Anna

Description:

Argumenta Oeconomica, 2017, Nr 1 (38), s. 257-283

Abstrakt:

This paper examines short-run relationships among the U.S., German and Greek bond markets in times of financial crises. Specifically, the connections among daily and weekly growth rates of the 10-year government bond yields of the U.S., Germany and Greece from July 13, 2006 to January 29, 2016 are considered and an empirical illustration of those, based on the vector autoregressive (VAR) model with stochastic volatility (SV) disturbances, is provided. Finally, sufficient weak and strong exogeneity conditions in the VAR-SV models are tested. Our results indicate that during the time period covered by the analysis, the weekly growth rates of the 10-year U.S. bond yields were not affected by the past growth rates of the 10-year German and Greek bond yields. Contagion effects were absent among all the 10-year bond markets considered. From October 2008 to April 2015 a ‘flight to quality’ effect be-tween Germany and Greece, as well as between the U.S. and Greece seems to have occurred. Since the strong exogeneity hypothesis of the 10-year US bond yields’ weekly growth rates has not been rejected by the data, they can be predicted from the marginal model only, i.e. without taking the German and Greek bond yields into consideration

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

artykuł

Resource Identifier:

oai:dbc.wroc.pl:36710

Language:

eng

Relation:

Argumenta Oeconomica, 2017, Nr 1 (38)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Group publication title:

Argumenta Oeconomica

Format:

application/pdf

Subject and keywords:

international bond markets financial crisis exogeneity stochastic volatility

Object collections:

Last modified:

May 26, 2022

In our library since:

May 15, 2017

Number of object content hits:

509

Number of object content views in PDF format

501

All available object's versions:

https://dbc.wroc.pl/publication/40517

Show description in RDF format:

RDF

Show description in OAI-PMH format:

OAI-PMH

Edition name Date
The short-term relationships among the U.S., German and Greek bond markets in times of financial crises. A Bayesian analysis of exogeneity in the VAR-SV model May 26, 2022

Similar

Ekonometria = Econometrics
Ekonometria = Econometrics

Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering

Szczepocki, Piotr

2023
artykuł
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

The Origin of Asian Financial Crisis and Methods of its Overcoming

Ostalecka, Agnieszka

2010
artykuł
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

The Impact of Regional Trade and Global Financial Crisis on Small and Medium-Sized Enterprise Support Policy in Japan

Buczkowski, Bogdan

2010
artykuł
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Modyfikacja geometrycznego ruchu Browna oparta na czasie przebywania. Wycena instrumentów pochodnych, implikowana zmienność – badania symulacyjne

Czernik, Tadeusz Iskra, Daniel

2014
artykuł
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

The Subprime Crisis and the Asian Crisis - Remarks from a Comparative Analysis

Jurek, Michał Marszałek, Paweł

2010
artykuł
Ekonomia XXI Wieku = Economics of the 21st Century
Ekonomia XXI Wieku = Economics of the 21st Century

The consequences of the post-crisis regulatory architecture for the banks in Central Eastern Europe

Miklaszewska, Ewa

2011
artykuł
Ekonomia XXI Wieku = Economics of the 21st Century
Ekonomia XXI Wieku = Economics of the 21st Century

The financial crisis and DSGE models. A critical evaluation

Stelmach, Jerzy

2011
artykuł
Śląski Przegląd Statystyczny = Silesian Statistical Review
Śląski Przegląd Statystyczny = Silesian Statistical Review

Inverted gamma vs. log-normal innovations in MSFSBEKK models in the forecasting of selected Polish exchange rates

Pajor, Anna

2020
artykuł
More
×

Citation

Citation style:

Contact details

Address

Wrocław University of Science and Technology (Coordinator)
Library of Wrocław University of Science and Technology
Wybrzeże Wyspiańskiego 27
50-370 Wrocław, Poland

Phone

(+48) 71-320-38-30
(+48) 71-320-47-50

E-Mail

bc@pwr.edu.pl

Visit us!

https://biblioteka.pwr.edu.pl/

This page uses 'cookies'. More information