ساختار وابستگی بین CEEC-3 و بازارهای اوراق بهادار دولت آلمان
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|42021||2014||17 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Financial Markets, Institutions and Money, Volume 29, March 2014, Pages 109–125
We use copula models to investigate the structural dependence between CEEC-3 (Poland, the Czech Republic, and Hungary) and German bond markets from 2000 to 2012. We evaluate the degree of financial integration and dependence structure changes in government securities markets following European monetary integration and, first, find that integration between CEEC-3 and Germany is greater for the long-term interest rate but decreased during the crisis period. Second, the dependence between the Czech Republic and Poland increased significantly since EU accession before the recent financial crises occurred. Finally, the structural dependence between CEEC-3 and German government securities markets is generally symmetric.