Carregant...
Tipus de document
Treball de fi de màsterData de publicació
Llicència de publicació
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/67048
Effects of macroeconomic and rating announcements on the correlation of peripheral government bond markets
Títol de la revista
Autors
Director/Tutor
ISSN de la revista
Títol del volum
Recurs relacionat
Resum
In this study we investigate the impact of conventional and unconventional measures made by central banks and rating announcements made by rating agencies on peripheral bonds correlations during the financial crisis (2007-2009) and the sovereign debt crisis (2010-2013). Previously, we estimate these correlations using the Dynamic Conditional Correlation (DCC) model proposed by Engle (2002). Our results reveal that peripheral bond markets became less integrated during the sovereign debt crisis and we find that negative news on interest rates and Quantitative Easing (QE) announcements had a negative impact on dynamic correlations and provided diversification opportunities. The effect of downgrades was also negative in most of the cases suggesting that the increased sovereign risk among peripheral countries lead to lower correlations.
Descripció
Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2014-2015, Tutora: Helena Chuliá Soler
Matèries (anglès)
Citació
Citació
CENTELLES MARTÍNEZ, Daniel. Effects of macroeconomic and rating announcements on the correlation of peripheral government bond markets. [consulta: 23 de gener de 2026]. [Disponible a: https://hdl.handle.net/2445/67048]