Volatility of yields of government bonds among GIIPS countries during the sovereign debt crisis in the euro area

Heryán, Tomáš; Ziegelbauer, Jan

doi:10.12775/equil.2016.003

Cited by 8 publications

(5 citation statements)

References 11 publications

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“…Last global financial crisis has proved the growing influence of "financisation" of economy on the situation on labour markets (Glazar and Strielkowski, Michał Bernard Pietrzak, Marcin Fałdziński, Adam P. Balcerzak, Tomáš Meluzín, Marek Zinecker Müller-Frączek and Pietrzak, 2011;Pietrzak and Balcerzak, 2016b), macroeconomic fiscal stability (Hadaś-Dyduch, 2015;Miklaszewicz, 2016;Majerová, 2016;Lajtkepová, 2016; and sustainability of whole economies (Pietrzak et al, 2014;Pietrzak and Balcerzak, 2016c;Balcerzak and Pietrzak, 2016b). As a result, identification of international linkages among markets and analysis of their variability over time is the condition for effective management of risk associated to potential negative influence of global capital markets (Arshanapalli et al, 1995;Andersen et al, 1999;Baur, 2003;Pericoli and Sbracia, 2003;Engle, 2009;Billio and Caporin, 2010;Syllignakis and Kouretas, 2011;Baek and Jun, 2011;Karanasos et al, 2014;Reboredo et al, 2015;Heryán and Ziegelbauer, 2016;Gawrońska-Nowak and Grabowski, 2016). It is of great importance both for policy makers at macroeconomic level and managers operating in international environment from microeconomic perspective.…”

Section: Introductionmentioning

confidence: 99%

Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets

Pietrzak¹,

Fałdziński²,

Balcerzak³

et al. 2017

Economics &Amp; Sociology

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ABSTRACT. The article focuses on the problem of interdependences among Central European capital markets. The main aim of this research is to identify longterm interdependences among Austrian, Czech, Hungarian and Polish capital markets and the market of Germany. Additionally, the impact of short-term shocks on these markets is under evaluation. In the first step of the research the interdependencies among the capital markets in the years 1997-2015 were verified. For this purpose the DCC-GARCH model with the conditional t-distribution was used. In the second step, an analysis of cointegration for the interdependencies among the markets was carried out. The authors proposed to include conditional variances of the analysed markets as additional explanatory variables in the cointegration analysis. As the conditional variance most often reflects the impact of short-term shocks, the proposed approach allowed to take into account shortterm market shocks in the cointegration analysis. The results enabled to identify long-term path for the course of the interdependences among markets of Germany, Austria, Czech Republic, Hungary and Poland. The mentioned Central European capital markets make a group of markets characterized with similar long-term path, which are focused around the dominant market of Germany.

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Section: Introductionmentioning

confidence: 99%

Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets

Pietrzak¹,

Fałdziński²,

Balcerzak³

et al. 2017

Economics &Amp; Sociology

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“…VAR model application is justified when analysing time-series data in order to eliminate autocorrelation effect and is in accordance with previous research in this field. The model is called autoregressive due to the presence of a lagged value of a dependent variable (oil products' prices) on the right side (Heryan & Ziegelbauer, 2016). …”

Section: Methodsmentioning

confidence: 99%

Financial variables influencing the performance of refined crude oil products at North-West European cargo markets

Gurvitš

Strouhal

Saia³

et al. 2018

Journal of International Studies

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“…Other empirical research of Klein (1975), Muscatelli and Spinelli (1996) offer evidence of a weak correlation between yield and price level. Volatility of yields on interconnected fi nancial markets has a strong impact on the bond yield spreads (Heryán & Ziegelbauer, 2016). Serletis and Zestos (1999) studied the phenomena and fi nd no evidence of cointegration between interest rates and the price level, casting doubt on the foundation for this empirical fact as pointed by Gibson and later by Keynes.…”

Section: Literature Reviewmentioning

confidence: 99%

Exploring the Gibson law in CEE countries using a time series approach

Škare¹,

Tomić²,

Porada-Rochoń³

2018

E+M

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This study investigates the presence of the Gibson paradox in the transitional countries. The Gibson law has been a source of widespread academic discussion on the dynamics of long-term interest rates and the price level. Today the Gibson law re-emerges on the economic science stage since historically low-interest rates and defl ationary pressures are present worldwide. This paper studies the correlation between cyclical components of interest rates and prices for CEE (Central and Eastern Europe) states over the 2000-2014 period. Empirical results show only a weak correlation between the cyclical components implying no long run (cointegrating) relationship between bond yields and prices. Evidence presented in the study shows Gibson law is not valid for the CEE states, advancing the possibility that fi xed exchange regimes, lack of the gold reserves, and monetary stabilisation policies are the forces driving the law outside the CEE area. The results show that Gibson paradox is not present in CEE states but also point to the possible non-linear nature of the paradox. In order to investigate the non-linear nature of the paradox in CEE, because of constant changes and adaptation of the monetary policies in CEE states, future studies should use a long memory approach. The paper shows limited theoretical explanation for the non-existent Gibson law in CEE economies but still advances an explanation-lack of gold reserves, fi xed exchange regimes and restrictive monetary policy. Policy makers should monitor the nature of the paradox in relation to the historically low levels of interest rates in order to avoid or at least alleviate future fi nancial crisis.

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Volatility of yields of government bonds among GIIPS countries during the sovereign debt crisis in the euro area

Abstract: The aim of the paper is to estimate, how the volatility of yields of the Greek bonds affects yields' volatilities of bonds in selected European

Cited by 8 publications

References 11 publications

Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets

Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets

Financial variables influencing the performance of refined crude oil products at North-West European cargo markets

Exploring the Gibson law in CEE countries using a time series approach

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