Bond Yields Movement Similarities and Synchronization in the G7: A Time–Frequency Analysis

Martins, João, (2022). Bond Yields Movement Similarities and Synchronization in the G7: A Time–Frequency Analysis. Journal of Business Cycle Research, 18 189-214

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  • Sub-type Journal article
    Author Martins, João
    Title Bond Yields Movement Similarities and Synchronization in the G7: A Time–Frequency Analysis
    Appearing in Journal of Business Cycle Research
    Volume 18
    Publication Date 2022-05
    Place of Publication Cham
    Publisher Springer
    Start page 189
    End page 214
    Language eng
    Abstract This paper uses wavelet coherencies and a wavelet dissimilarity index to study the similarities and synchronization of government bond yield movements in the G7. Using monthly data, going from January 1980 to September 2018, the analysis finds a high degree of synchronization among the seven government bond yield series. The Great Recession is associated with breaks in several time–frequency regions of statistically significant coherencies. The European convergence process and the introduction of the euro are associated with more statistically significant time–frequency regions of high coherencies among the euro area countries. Language, economic, and political factors appear to exert influence on the degree of synchronization between countries, as a higher level of synchronization is observed amongst the anglophone countries and the euro area countries.
    Keyword G7
    Government bond yields
    Synchronization
    Wavelet coherency
    JEL C32, C49, E49, F49
    Copyright Holder The Author
    Copyright Year 2022
    Copyright type All rights reserved
    DOI 10.1007/s41549-022-00068-8
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    Created: Wed, 10 Aug 2022, 22:29:40 JST by Mario Peixoto on behalf of UNU EGOV