Convergence patterns in sovereign bond yield spreads : evidence from the Euro Area

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dc.contributor.author Antonakakis, Nikolaos
dc.contributor.author Christou, Christina
dc.contributor.author Cunado, Juncal
dc.contributor.author Gupta, Rangan
dc.date.accessioned 2017-09-04T13:10:49Z
dc.date.issued 2017-07
dc.description.abstract This study examines the convergence patterns of Euro Area (EA) 17 countries’ sovereign bond yield spreads (relative to German bund) over the period of March 2002 to December 2015, by employing the convergence algorithm developed by Phillips and Sul (2007). The empirical findings suggest rejection of full convergence across the EA17 countries’ bond yields spreads, and the presence of a certain number of clubs. In particular, three subgroup convergence clubs emerge, with Cyprus, Spain, France, Greece, Ireland, Lithuania, Luxembourg, Latvia, Portugal and Slovenia in the first; Belgium, Italy and Malta in the second; and Austria, Finland, Netherlands and Slovakia in the third club. Moreover, there is also evidence that the first two clubs could be merged to form a larger convergence club. The transitional curves indicate that, despite short-run divergences, EU17 sovereign bond yield spreads tend to converge in the long-run, with the exception of those in Greece and Cyprus, indicating the strong attempts of most of the countries under investigation to adopt fiscal policies that eventually contribute to a convergence pattern. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2018-07-30
dc.description.librarian hj2017 en_ZA
dc.description.sponsorship Ministerio de Economia y Competitividad [ECO2014-55496] en_ZA
dc.description.uri http://www.elsevier.com/locate/intfin en_ZA
dc.identifier.citation Antonakakis, N., Christou, C., Cunado, J. & Gupta, R. 2017, 'Convergence patterns in sovereign bond yield spreads : evidence from the Euro Area', Journal of International Financial Markets, Institutions and Money, vol. 49, pp. 129-139. en_ZA
dc.identifier.issn 1042-4431 (print)
dc.identifier.issn 1873-0612 (online)
dc.identifier.other 10.1016/j.intfin.2017.03.002
dc.identifier.uri http://hdl.handle.net/2263/62180
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2017 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money, vol. 49, pp. 129-139, 2017. doi : 10.1016/j.intfin.2017.03.002. en_ZA
dc.subject Sovereign bond yield spreads en_ZA
dc.subject Club convergence en_ZA
dc.subject Euro area (EA) en_ZA
dc.title Convergence patterns in sovereign bond yield spreads : evidence from the Euro Area en_ZA
dc.type Postprint Article en_ZA


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