EU Accessioon, Financial Integration, and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets
EU Accessioon, Financial Integration, and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets
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欧盟加入、金融一体化和传染效应：CEEC-3 债券市场的动态相关性分析
DOI：
10.1007/s11300-013-0276-4
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发表时间：
2013
影响因子：
--
通讯作者：
Lu Yang and Shigeyuki Hamori
中科院分区：
文献类型：
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作者：
Yang;L. and Hamori;S.;Takuji Kinkyo and Shigeyuki Hamori;Lu Yand and Shigeyuki Hamori;Lu Yang and Shigeyuki Hamori;Lu Yang and Shigeyuki Hamori
在本文中，我们研究了CEEC-3债券市场之间的条件相关性（即，波兰、捷克共和国和匈牙利）和德国从2000年到2013年使用Cappiello等人开发的非对称动态条件相关模型（J Financ Econ 4：557-572，2006）。CEEC-3包括2004年成为欧盟成员国的新兴转型经济体，而德国作为欧盟的代表，因为它是欧元区最大的经济体。基于所提出的分析模型，我们有四个重要的发现。首先，我们表明，金融一体化已经在2004年采用欧元之前，在捷克共和国，而金融一体化进程继续在波兰，但不是在匈牙利。其次，全球金融危机期间，波兰和匈牙利债券市场对德国债券市场的依赖程度降低。第三，中东欧三国和德国的债券市场在欧洲主权债务危机期间没有发生金融传染。最后，当市场剧烈波动时，我们可以观察到收益随时间的不对称效应。
In this paper, we investigate the conditional correlations between the bond markets in CEEC-3 (i.e., Poland, Czech Republic, and Hungary) and Germany from 2000 to 2013 using the asymmetric dynamic conditional correlation model developed by Cappiello et al. (J Financ Econ 4:557–572, 2006). CEEC-3 comprise emerging transition economies that became European Union (EU) members in 2004, while Germany serves as a representative of the EU because it is the largest economy in the eurozone. Based on the presented analytical models, we make four important findings. First, we show that financial integration had already evolved before the adoption of the euro in 2004 in the Czech Republic, while the financial integration process continues in Poland but not in Hungary. Second, the bond markets in both Poland and Hungary decreased their dependence on that in Germany during the global financial crisis period. Third, financial contagion did not occur in the bond markets in CEEC-3 and Germany during the European sovereign debt crisis period. Finally, we can observe asymmetric effects on returns over time when markets fluctuate sharply.