Artigo em revista científica Q3
Tracking the relationship between euro area equities and sovereign bonds
Inês da Cunha Cabral (da Cunha Cabral, I.); Pedro Ribeiro (Ribeiro, P. P.); João Nicolau (Nicolau, J.);
Título Revista
International Journal of Monetary Economics and Finance
Ano (publicação definitiva)
2019
Língua
Inglês
País
Suíça
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Abstract/Resumo
This paper explores the relationship between stocks and sovereign bonds by means of the asymmetric detrended cross-correlation analysis (ADCCA). Drawing on data from 1999.01 to 2018.09 of the first wave of euro area countries, the full sample is divided into three subsets in accordance with economic and financial features. Some findings arise with striking implications for investors and policymakers. Firstly, empirical results show that cross-correlations differ from country to country, depending on the sub-period under analysis and on the time scale. Secondly, likewise within country estimates, cross-country linkages may point to fragmentation in the euro area with agents moving away from financial assets of lower-rated countries to invest in more robust economies in periods of turmoil. Thirdly, there is evidence of asymmetry since 'flight-to-quality' movements seem to be more relevant than 'flight-to-yield' episodes. Finally, while relationships were globally bidirectional until mid-2007, new causality patterns arose with the financial crisis.
Agradecimentos/Acknowledgements
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Palavras-chave
Asymmetry,Causality,Cross correlation,Equities,Euro area,Fragmentation,Multiscales,Sovereign bonds
  • Economia e Gestão - Ciências Sociais
Registos de financiamentos
Referência de financiamento Entidade Financiadora
UID/GES/00315/2019 Fundação para a Ciência e a Tecnologia
UID/MULTI/ 00491/2019 Fundação para a Ciência e a Tecnologia
PTDC/EGE-ECO/28924/2017 Fundação para a Ciência e a Tecnologia