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dc.contributor.authorSchwendner, Peter-
dc.contributor.authorSchüle, Martin-
dc.contributor.authorOtt, Thomas-
dc.contributor.authorHillebrand, Martin-
dc.date.accessioned2018-07-20T07:04:19Z-
dc.date.available2018-07-20T07:04:19Z-
dc.date.issued2015-
dc.identifier.issn2055-7795de_CH
dc.identifier.issn2055-7809de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/8355-
dc.description.abstractFrom 2004 to 2015, the market perception of the sovereign risks of euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. "Core" and "peripheral" bonds cluster in a bloc-like structure, but the correlations between the blocs are timedependent and even become negative in periods of stress. Using noise-filtered partial correlation influences, this time-dependency can be evaluated and visualized using network graphs. Our results support the view that market-implied spillover risks have decreased since the European rescue and stability mechanisms came into force in 2011. EFSF bond issues have been trading as part of the "core" bloc since 2011. In 2015, spillover risks reappeared during the Eurogroup's negotiations with Greece, although the periphery yields did not show risk spreads that were as large as those in 2012.de_CH
dc.language.isoende_CH
dc.publisherIncisive Mediade_CH
dc.relation.ispartofJournal of Network Theory in Financede_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectESMde_CH
dc.subjectFinTechde_CH
dc.subjectContagion riskde_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleEuropean government bond dynamics and stability policies : taming contagion risksde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitInstitut für Wealth & Asset Management (IWA)de_CH
dc.identifier.doi10.21314/JNTF.2015.012de_CH
zhaw.funding.euNode_CH
zhaw.issue4de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end25de_CH
zhaw.pages.start1de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume1de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.webfeedBio-Inspired Modelling and Learning Systemsde_CH
zhaw.funding.zhawEuropean government bond dynamics and stability policies: taming contagion risksde_CH
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Schwendner, P., Schüle, M., Ott, T., & Hillebrand, M. (2015). European government bond dynamics and stability policies : taming contagion risks. Journal of Network Theory in Finance, 1(4), 1–25. https://doi.org/10.21314/JNTF.2015.012
Schwendner, P. et al. (2015) ‘European government bond dynamics and stability policies : taming contagion risks’, Journal of Network Theory in Finance, 1(4), pp. 1–25. Available at: https://doi.org/10.21314/JNTF.2015.012.
P. Schwendner, M. Schüle, T. Ott, and M. Hillebrand, “European government bond dynamics and stability policies : taming contagion risks,” Journal of Network Theory in Finance, vol. 1, no. 4, pp. 1–25, 2015, doi: 10.21314/JNTF.2015.012.
SCHWENDNER, Peter, Martin SCHÜLE, Thomas OTT und Martin HILLEBRAND, 2015. European government bond dynamics and stability policies : taming contagion risks. Journal of Network Theory in Finance. 2015. Bd. 1, Nr. 4, S. 1–25. DOI 10.21314/JNTF.2015.012
Schwendner, Peter, Martin Schüle, Thomas Ott, and Martin Hillebrand. 2015. “European Government Bond Dynamics and Stability Policies : Taming Contagion Risks.” Journal of Network Theory in Finance 1 (4): 1–25. https://doi.org/10.21314/JNTF.2015.012.
Schwendner, Peter, et al. “European Government Bond Dynamics and Stability Policies : Taming Contagion Risks.” Journal of Network Theory in Finance, vol. 1, no. 4, 2015, pp. 1–25, https://doi.org/10.21314/JNTF.2015.012.


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