Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective

This study uses structural entropy as a valuable method for studying complex networks in a macro-finance context, such as the European government bond market. We make two contributions to the empirical literature on sovereign bond markets and entropy in complex networks. Firstly, our article contrib...

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Veröffentlicht in:Entropy (Basel, Switzerland) Jg. 25; H. 4; S. 630
Hauptverfasser: Warin, Thierry, Stojkov, Aleksandar
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Switzerland MDPI AG 07.04.2023
MDPI
Schlagworte:
Bond markets
Capital market
Central banks
Economic crisis
Entropy
EU membership
Euromarkets
European capital markets
Eurozone
Federal Reserve monetary policy
Finance
Government bonds
Interest rates
International finance
Investigations
Macroeconomics
Monetary unions
Securities markets
sovereign bonds
Sovereign debt
Stochastic models
structural entropy
Eastern Europe
Germany
Europe
European capital markets
sovereign bonds
structural entropy
ISSN:1099-4300, 1099-4300
Online-Zugang:Volltext
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Zusammenfassung:This study uses structural entropy as a valuable method for studying complex networks in a macro-finance context, such as the European government bond market. We make two contributions to the empirical literature on sovereign bond markets and entropy in complex networks. Firstly, our article contributes to the empirical literature on the disciplinary function of credit markets from an entropy perspective. In particular, we study bond yield differentials at an average daily frequency among EU countries’ 10-year Eurobonds issued between 1 January 1997, and 4 October 2022. Secondly, the article brings a methodological novelty by incorporating an entropy perspective to the study of government bond yield differentials and European capital market integration. Entropy-based methods hold strong potential to bring new sources of dynamism and valuable contributions to the areas of macroeconomics and finance.
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ISSN:1099-4300
1099-4300
DOI:10.3390/e25040630