Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2013 | nr 3(18) | 30
Tytuł artykułu

Interactions of U.S., German and Greek Bond Markets in Times of Financial Crisis. A Bayesian Analysis of Exogeneity in the VAR-SV Model

Treść / Zawartość
Warianty tytułu
Języki publikacji
This paper examines interactions of the U.S., German and Greek bond markets in times of financial crisis. Specifically, the connections among daily and weekly growth rates of the 10-year government bond yields of the U.S., Germany and Greece from July 13, 2006 to June 28, 2012 are considered and an empirical illustration of those, based on the vector autoregressive (VAR) model with stochastic volatility (SV) disturbances, is provided. Finally, sufficient weak and strong exogeneity conditions in the VAR-SV models are tested. Since the strong exogeneity hypothesis of the 10-year US bond yields' growth rates has not been rejected by the data, they can be predicted from the marginal model only. (original abstract)
Opis fizyczny
  • Cracow University of Economics, Poland
  • Cracow University of Economics, Poland
  • Abad P., Chuliá H., Gómez-Puig M., (2009), EMU and European Government Bond Market Integration, EBC Working Paper Series No. 1079/August.
  • Andersson M., Hansen L. J., Sebestyén S., (2006), Which News Moves the Euro Are Bond Market?, ECB Working Paper Series No. 631/May.
  • Barrios S., Iversen P., Lewandowska M., Setzer R., (2009), Determinants of intra-euro area government bond spreads during the financial crisis, European Economy - Economic Papers 388, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  • Baur, D.G., Lucey, B.M., (2009), Flights and contagion. An empirical analysis of stock-bond correlations. Journal of Financial Stability 5, 339-352.
  • Beirne J., Gieck J., (2012), Interdependence and Contagion in Global Asset Markets, ECB Working Paper Series No. 1480/October.
  • Box G.E.P., Tiao G.C., (1973), Bayesian Inference in Statistical Analysis, Addison-Wesley Publishing Company, Massachusetts.
  • Christiansen Ch., (2003), Volatility-Spillover Effects in European Bond Markets, available at:
  • Claeys P., Vašiček B., (2012), Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News, Working Papers 2012/07, Czech National Bank, Research Department, available at:
  • Clare A., Lekkos I., (2000), An analysis of the relationship between international bond markets, Bank of England's Working Paper, available at:
  • Da Costa J. N. C., Cruz L. V., Leiria P. S., (2004), Government bond markets: what is the magnitude of volatility-spillover effects in the euro area?, available at:
  • De Luna X., P. Johansson P., (2006), Exogeneity in structural equation models, Journal of Econometrics132 (2), 527-543.
  • Ehrmann M., Fratzscher M., Rigobon R., (2005), Stocks, Bonds, Money Markets and Exchange Rates. Measuring International Financial Transmission, ECB Working Paper Series No. 452/March.
  • Engsted T., Tanggaard C., (2005), The comovement of US and German bond markets, available at:
  • Engle R.F., Granger C.W.J., (1987), Co-integration and error correction: representation, estimation and testing, Econometrica 55, 251-276.
  • Engle R.F., Hendry D.F., Richard J.F., (1983), Exogeneity, Econometrica 51, 277-304.
  • Ericsson N.R., Hendry D.F., Mizon G.E., (1998), Exogeneity, Cointegration, and Economic Policy Analysis, Journal of Business and Economic Statistic 6 (4), 370-387.
  • European Debt Crisis, available at:
  • Financial Integration in Europe, (2012), EBC, April, available at:
  • Florens J.P., Mouchart M., (1977), Reduction of Bayesian experiments, CORE disscusion paper no. 7737, Université Catholique de Louvain, Louvain-la-Neuve, Belgium.
  • Florens J.P., Mouchart M., (1980), Initial and Sequential Reduction of Bayesian Experiments, CORE disscusion paperno. 8015, Université Catholique de Louvain, Louvain-la-Neuve, Belgium.
  • Florens J.P., Mouchart M., (1982), A Note on Noncausality, Econometrica50 (3), 583-591.
  • Florens J.P., Mouchart M., (1985), Conditioning in dynamic models, Journal of Time Series Analysis 53(1), 15-35.
  • Florens J.P., Mouchart M., Rolin J.M., (1990), Elements of Bayesian statistic, Marcel Dekker, Inc, New York and Basel.
  • Gamerman D., (1997), Markov Chain Monte Carlo. Statistic simulation for Bayesian inference, Chapman and Hall, London.
  • German Auction 'Disaster' Stirs Crisis Concern, available at:
  • Goldberg L., Leonard D., (2003), What Moves Sovereign Bond Markets? The Effects of Economic News on U.S. and German Yields, Federal Reserve Bank of New York Vol. 9, No. 9, September, available at:
  • Granger C.W.J., (1969), Investigating causal relation by econometric and cross-sectional method, Econometrica 37, 424-438.
  • Hendry D.F., Richard J.F., (1982), On the Formulation of Empirical Models in Dynamic Econometrics, Journal of Econometrics 20, 3-33.
  • Hendry D.F., Richard J.F., (1983), The Econometric Analysis of Economic Time Series, International Statistical Review 51, 111-163.
  • Kim S.-J., Moshirian F., Wu E., (2006), Evolution of International Stock and Bond Market Integration: Influence of the European Monetary Union, Journal of Banking and Finance, 30:5, 1507-1534.
  • Laopodis N. T., (2008), Government Bond Market Integration within European Union, International Research Journal of Finance and Economics, Issue 19.
  • Mouchart M., Russo F., Wunsch G., (2007), Causality, structural modelling, and exogeneity, IAP Statistics Network, 1-26.
  • Newton M.A., Raftery A.E., (1994), Approximate Bayesian inference by the weighted likelihood bootstrap [with discussion], Journal of the Royal Statistical Society B, 56(1), 3-48
  • O'Hagan A., (1994), Bayesian Inference, Halsted Press, New York.
  • Osiewalski J., Pipień M., (2004), Bayesian comparison of bivariate GARCH processes. The role of the conditional mean specification, Chapter 7, [in:] Contributions to Economic Analysis 269, New Directions in Macromodelling, [ed.:] A. Welfe, Elsevier, Amsterdam, 173-196.
  • Osiewalski J., Steel M.F.J., (1993), Una perspectiva bayesiana en selección de modelos,Cuadernos Economicos 55/3, 327-351, (typescript: A Bayesian perspective on model selection).
  • Osiewalski J., Steel M.F.J., (1996), A Bayesian analysis of exogeneity in models pooling time-series and cross-section data, Journal of Statistical Planning and Inference 50, 187-206.
  • Pajor A., (2005a), Bayesian Analysis of Stochastic Volatility Model and Portfolio Allocation, Acta Universitatis Lodzensis - Folia Oeconomica 192, 229-249.
  • Pajor A., (2005b), Bayesian comparison of bivariate SV models for two related time series, Acta Universitatis Lodziensis - Folia Oeconomica190, 177-196.
  • Pajor A., (2006), Bayesian VECM-SV Models for the Main Polish Exchange Rates, [in:], 32-nd International Conference, MACROMODELS'05, [ed.:] W. Welfe, A. Welfe, Łódź, 135-154.
  • Pajor A., (2007), VECM-TSV Models for Two Polish Official Exchange Rates, [in:] Financial Markets: Principles of Modeling, Forecasting and Decision-Making, FindEcon Monograph Series: Advance in Financial Market Analysis, No. 2, [ed.:] W. Milo, P. Wdowiński, Łódź University Press, Łódź, 49-66.
  • Pajor A., (2008), A Bayesian Analysis of Weak Exogeneity in VECM-SV Models, [in:] Metody ilościowe w naukach ekonomicznych (Quantitative Methods in Economic Sciences), [ed.:] A. Welfe, Warsaw School of Economics, Warszawa, 235-249.
  • Pajor A., (2010), Wielowymiarowe procesy wariancji stochastycznej w ekonometrii finansowej. Ujecie bayesowskie (Multivariate Stochastic Variance Processes in Financial Econometrics. Bayesian approach, in Polish), Cracow University of Economics, Kraków.
  • Pajor A., (2011), A Bayesian Analysis of Exogeneity in Models with Latent Variables, Central European Journal of Economic Modelling and Econometrics, vol. 3 (issue 2), 49-73,
  • Rault Ch., (2011), Long-run strong-exogeneity, Economics Bulletin 31 (1), 1-8.
  • Safe Assets: Financial System Cornerstone?, (2012),IMF, April, available at:
  • Sosvilla-Rivero S., Morales-Zumaquero A., (2011), Volatility in EMU sovereign bond yields: permanent and transitory components, ICEI Working Papers, WP06/11, available at:
  • Tsay R.S., (2002), Analysis of Financial Time Series. Financial Econometrics, A Wiley-Interscience Publication, John Wiley & Sons, INC, New York.
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.