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Hossein Asgharian. Photo.

Hossein Asgharian

Professor

Hossein Asgharian. Photo.

Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets

Author

  • Hossein Asgharian
  • Lu Liu
  • Marcus Larsson

Summary, in English

We analyze the importance of different asset holdings for the interdependence of the yield curves in the Euro area using a spatial VAR model. We find that the cross-border holdings of long-term debt and bank lending are important for the interdependence. We also find that comovement in the Euro area declines after 2008. We show that this decline is not related to the difference among countries in reacting to shocks from the US during the financial crisis. Rather, it largely reflects the segmentation between GIIPS and non-GIIPS countries. Our analysis of dispersion in sovereign-CDS-spread term structure shows that the differential in sovereign creditworthiness in the Euro area is a main driver of the yield-curve divergence after 2008.

Department/s

  • Department of Economics

Publishing year

2018-09

Language

English

Pages

189-206

Publication/Series

Journal of International Money and Finance

Volume

86

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • yield-curve factors
  • cross-border asset holding
  • spatial dependence
  • Euro bond markets
  • sovereign credit default swap
  • E43
  • G15
  • C31

Status

Published

ISBN/ISSN/Other

  • ISSN: 0261-5606