Advanced

Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets

Asgharian, Hossein LU ; Liu, Lu LU and Larsson, Marcus (2015) In Working Paper / Department of Economics, School of Economics and Management, Lund University
Abstract
We analyze the importance of different types of asset holdings for the interdependence of the yield curves in the EMU using a spatial VAR model. We find that the cross-border holdings of long-term debt and bank lending are important for the interdependence. Our analysis of cross-sectional dispersion in sovereign-CDS-premium term structure shows that the differential in sovereign creditworthiness in the EMU is a main driver of the yield-curve divergence after 2008. The degree to which EMU countries’ yield-curve slopes depend on the US slope decreases in the recent US recession, reflecting expectations during this period about future divergence of the US and EMU economies.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Working Paper
publication status
published
subject
keywords
yield-curve factors, cross-border asset holding, spatial dependence, EMU, sovereign credit default swap
in
Working Paper / Department of Economics, School of Economics and Management, Lund University
issue
30
pages
50 pages
publisher
Department of Economics, Lund Universtiy
language
English
LU publication?
yes
id
7eccad72-6152-4232-ac7d-0a7eccaa9515 (old id 8230840)
alternative location
http://swopec.hhs.se/lunewp/abs/lunewp2015_030.htm
date added to LUP
2015-11-25 16:23:48
date last changed
2016-04-16 07:54:56
@misc{7eccad72-6152-4232-ac7d-0a7eccaa9515,
  abstract     = {We analyze the importance of different types of asset holdings for the interdependence of the yield curves in the EMU using a spatial VAR model. We find that the cross-border holdings of long-term debt and bank lending are important for the interdependence. Our analysis of cross-sectional dispersion in sovereign-CDS-premium term structure shows that the differential in sovereign creditworthiness in the EMU is a main driver of the yield-curve divergence after 2008. The degree to which EMU countries’ yield-curve slopes depend on the US slope decreases in the recent US recession, reflecting expectations during this period about future divergence of the US and EMU economies.},
  author       = {Asgharian, Hossein and Liu, Lu and Larsson, Marcus},
  keyword      = {yield-curve factors,cross-border asset holding,spatial dependence,EMU,sovereign credit default swap},
  language     = {eng},
  note         = {Working Paper},
  number       = {30},
  pages        = {50},
  publisher    = {Department of Economics, Lund Universtiy},
  series       = {Working Paper / Department of Economics, School of Economics and Management, Lund University},
  title        = {Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets},
  year         = {2015},
}