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 coherencyJEL 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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