European Economic and Monetary Union Sovereign Debt Markets
This paper focuses on developments in the European Economic and Monetary Union sovereign debt markets in the past decade. The first part analyzes the integration and segmentation structure of the bond markets of the Economic and Monetary Union befo...
| Main Authors: | , , |
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
| Published: |
World Bank Group, Washington, DC
2015
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| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/en/2015/01/23170489/european-economic-monetary-union-sovereign-debt-markets http://hdl.handle.net/10986/21146 |
| Summary: | This paper focuses on developments in
the European Economic and Monetary Union sovereign debt
markets in the past decade. The first part analyzes the
integration and segmentation structure of the bond markets
of the Economic and Monetary Union before and after the
sovereign debt crisis, by introducing the novel concept of
correlation-based stable networks. Accordingly, a fair
integration is observed between the bond markets during the
pre-crisis period. However, a strict segmentation emerges,
separating the members struggling with debt problems and the
ones with relatively strong fiscal performances during the
sovereign debt turmoil. The segmentation structure is
clearly visualized, revealing the potential paths for crisis
and recovery transmission in the future. In the second part,
the paper comments on the recent decreasing trend in
Economic and Monetary Union member bond yields and their
increasing degree of co-movement. Accordingly, the paper
argues that these changes do not depend on the fiscal
performances of the member countries, but depend on the
illusion of quality that appeared with the Fed (U.S. Federal
Reserve) tapering signals in early 2013. |
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