Cointegration of EMU Government Bonds in Times of Financial Crises, COVID-19, and High Inflation - The Importance of Sovereign Debt for the European Insurance Industry

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F23%3A43923890" target="_blank" >RIV/62156489:43110/23:43923890 - isvavai.cz</a>

Result on the web

<a href="https://doi.org/10.3790/zverswiss.2023.11.Meier.Rodriguez" target="_blank" >https://doi.org/10.3790/zverswiss.2023.11.Meier.Rodriguez</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3790/zverswiss.2023.11.Meier.Rodriguez" target="_blank" >10.3790/zverswiss.2023.11.Meier.Rodriguez</a>

Result language

angličtina

Original language name

Cointegration of EMU Government Bonds in Times of Financial Crises, COVID-19, and High Inflation - The Importance of Sovereign Debt for the European Insurance Industry

Original language description

This paper is an empirical investigation of the long-term relationship between the yields of 10y sovereign bonds of Germany and ten European Monetary Union (EMU) member countries before, after, and during the most important financial and economic events since the Global Financial Crisis. Further, we investigate the long-term relationship of EMU bond yields in the most recent period of high inflation. We analyze daily 10y sovereign bond yields for both, sample and sub-samples, by implementing the Johansen parametric standard approach in cointegration testing in combination with two non-parametric test procedures suggested by Bierens (1997) and Breitung (2002), which are not dependent on nuisance parameters. The results indicate that there is strong evidence for cointegrating relationships in the sovereign bond yields in core and non-core Eurozone countries in the early period of the EMU. However, contradictory evidence is found in the sub-samples following the European Sovereign Debt Crisis, as well as in the more recent period of sharp increases in inflation which is experienced globally. The findings are especially relevant for the asset management of European insurance companies, predominantly with regard to the treatment of EMU sovereign debt within the European regulatory framework, namely the Solvency II Directive.

Czech name

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Czech description

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Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

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OECD FORD branch

50206 - Finance

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2023

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Zeitschrift für die gesamte Versicherungswissenschaft

ISSN

0044-2585

e-ISSN

1865-9748

Volume of the periodical

112

Issue of the periodical within the volume

2

Country of publishing house

DE - GERMANY

Number of pages

32

Pages from-to

181-212

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-85175962128