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
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
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
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
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
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>SC</sub> - Článek v periodiku v databázi SCOPUS
CEP obor
—
OECD FORD obor
50206 - Finance
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2023
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Zeitschrift für die gesamte Versicherungswissenschaft
ISSN
0044-2585
e-ISSN
1865-9748
Svazek periodika
112
Číslo periodika v rámci svazku
2
Stát vydavatele periodika
DE - Spolková republika Německo
Počet stran výsledku
32
Strana od-do
181-212
Kód UT WoS článku
—
EID výsledku v databázi Scopus
2-s2.0-85175962128