Dynamics of the European sovereign bonds and the identification of crisis periods

Arbeitspapier

We develop an empirical model of heterogeneous agents to study the dynamics of the European sovereign bonds market. Agents make use of different information from the CDS market and the historical price movements of the sovereign bonds for their trading decisions. Subject to the perceived risk, agents exhibit changing trading behaviors in high risk periods and tranquil times. As a robustness check for the ability of our model to identify crises periods we also run a generalized sup adf test as suggested in Phillips, Shi, and Yu (2015) . Our results indicate that the smooth transition regression framework may provide additional valuable information regarding the timing of crisis events.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: FinMaP-Working Paper ; No. 57

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; International Financial Markets
• Subject: sovereign bonds ; CDS ; heterogeneous agents

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chen, Zhenxi ; Reitz, Stefan
• Event: Veröffentlichung
• (who): Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
• (where): Kiel
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/126395
• Last update: 10.03.2025, 11:44 AM CET