Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?
<p>This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields...
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2022
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| _version_ | 1864513566525095936 |
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| author | Noureddine benlagha (8639769) |
| author2 | Wael Hemrit (14156910) |
| author2_role | author |
| author_facet | Noureddine benlagha (8639769) Wael Hemrit (14156910) |
| author_role | author |
| dc.creator.none.fl_str_mv | Noureddine benlagha (8639769) Wael Hemrit (14156910) |
| dc.date.none.fl_str_mv | 2022-11-22T21:22:45Z |
| dc.identifier.none.fl_str_mv | 10.1007/s12197-021-09554-8 |
| dc.relation.none.fl_str_mv | https://figshare.com/articles/journal_contribution/Does_economic_policy_uncertainty_matter_to_explain_connectedness_within_the_international_sovereign_bond_yields_/21601359 |
| dc.rights.none.fl_str_mv | CC BY 4.0 info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Commerce, management, tourism and services Banking, finance and investment Economics Applied economics Sovereign Bonds G7 Countries Economic Policy Uncertainty Connectedness |
| dc.title.none.fl_str_mv | Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields? |
| dc.type.none.fl_str_mv | Text Journal contribution info:eu-repo/semantics/publishedVersion text contribution to journal |
| description | <p>This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spillover shocks between two-year sovereign bond yields. Conversely, on the whole, EPU does not appear to affect the connectedness of thirty-year sovereign bond yields in various bond markets. The findings also reveal the significant impacts of real output on how shocks across countries manifest in different ways.</p><h2>Other Information</h2> <p> Published in: Journal of Economics and Finance<br> License: <a href="https://creativecommons.org/licenses/by/4.0" target="_blank">https://creativecommons.org/licenses/by/4.0</a><br>See article on publisher's website: <a href="http://dx.doi.org/10.1007/s12197-021-09554-8" target="_blank">http://dx.doi.org/10.1007/s12197-021-09554-8</a></p> |
| eu_rights_str_mv | openAccess |
| id | Manara2_4ab9a5d175f52076137ea019e9064a63 |
| identifier_str_mv | 10.1007/s12197-021-09554-8 |
| network_acronym_str | Manara2 |
| network_name_str | Manara2 |
| oai_identifier_str | oai:figshare.com:article/21601359 |
| publishDate | 2022 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | CC BY 4.0 |
| spelling | Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?Noureddine benlagha (8639769)Wael Hemrit (14156910)Commerce, management, tourism and servicesBanking, finance and investmentEconomicsApplied economicsSovereignBondsG7 CountriesEconomic Policy UncertaintyConnectedness<p>This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spillover shocks between two-year sovereign bond yields. Conversely, on the whole, EPU does not appear to affect the connectedness of thirty-year sovereign bond yields in various bond markets. The findings also reveal the significant impacts of real output on how shocks across countries manifest in different ways.</p><h2>Other Information</h2> <p> Published in: Journal of Economics and Finance<br> License: <a href="https://creativecommons.org/licenses/by/4.0" target="_blank">https://creativecommons.org/licenses/by/4.0</a><br>See article on publisher's website: <a href="http://dx.doi.org/10.1007/s12197-021-09554-8" target="_blank">http://dx.doi.org/10.1007/s12197-021-09554-8</a></p>2022-11-22T21:22:45ZTextJournal contributioninfo:eu-repo/semantics/publishedVersiontextcontribution to journal10.1007/s12197-021-09554-8https://figshare.com/articles/journal_contribution/Does_economic_policy_uncertainty_matter_to_explain_connectedness_within_the_international_sovereign_bond_yields_/21601359CC BY 4.0info:eu-repo/semantics/openAccessoai:figshare.com:article/216013592022-11-22T21:22:45Z |
| spellingShingle | Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields? Noureddine benlagha (8639769) Commerce, management, tourism and services Banking, finance and investment Economics Applied economics Sovereign Bonds G7 Countries Economic Policy Uncertainty Connectedness |
| status_str | publishedVersion |
| title | Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields? |
| title_full | Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields? |
| title_fullStr | Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields? |
| title_full_unstemmed | Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields? |
| title_short | Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields? |
| title_sort | Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields? |
| topic | Commerce, management, tourism and services Banking, finance and investment Economics Applied economics Sovereign Bonds G7 Countries Economic Policy Uncertainty Connectedness |