Volatility in EMU sovereign bond yields: Permanent and transitory component...

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英文文献：Volatility in EMU sovereign bond yields: Permanent and transitory components-欧洲货币联盟主权债券收益率的波动性:永久性和暂时性因素
英文文献作者：Simón Sosvilla-Rivero,Amalia Morales-Zumaquero
英文文献摘要：
This paper explores the evolving relationship in the volatility of sovereign yields in the European Economic and Monetary Union (EMU). To that end, we examine the behaviour for daily yields for 11 EMU countries (EMU-11), during the 2001-2010 period. In a first step, we decompose volatility in permanent and transitory components using Engel and Lee (1999)?s component-GARCH model. Results suggest that transitory shifts in debt market sentiment tend to be less important determinants of bond-yield volatility than shocks to the underlying fundamentals. In a second step, we develop a correlation and causality analysis that indicates the existence of two different groups of countries closed linked: core EMU countries and peripheral EMU countries. Finally, in a third step, we make a cluster analysis that further support our results regarding the existence of two different groups of countries, with different positions regarding the stability of public finance.

本文探讨了欧洲经济与货币联盟(EMU)主权债券收益率波动的演变关系。为此，我们研究了2001-2010年期间11个鸸鹋国家(EMU-11)的日产量行为。在第一步中，我们使用Engel和Lee(1999)的component-GARCH模型分解永久和临时组件的挥发性。结果显示，债券市场情绪的短暂变化，往往不是债券收益率波动的重要决定因素，而是对基本面的冲击。在第二步中，我们进行了相关性和因果关系分析，表明存在两组紧密联系的不同国家:欧洲货币联盟核心国家和欧洲货币联盟外围国家。最后，在第三步中，我们进行了聚类分析，进一步支持我们关于存在两组不同的国家，在公共财政稳定性方面的不同立场的结果。

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