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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Published in:Entropy (Basel, Switzerland) Vol. 25; no. 4; p. 630
Main Authors: Warin, Thierry, Stojkov, Aleksandar
Format: Journal Article
Language:English
Published: Switzerland MDPI AG 07.04.2023
MDPI
Subjects:
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 Access:Get full text
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Abstract 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.
AbstractList 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.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.
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.
Audience Academic
Author Stojkov, Aleksandar
Warin, Thierry
AuthorAffiliation 2 Department of Business Law and Economics, Iustinianus Primus Law Faculty, Ss. Cyril and Methodius University, 1000 Skopje, North Macedonia
1 Department of International Business, HEC Montreal, Montréal, QC H3T 2A7, Canada
AuthorAffiliation_xml – name: 1 Department of International Business, HEC Montreal, Montréal, QC H3T 2A7, Canada
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  surname: Warin
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  givenname: Aleksandar
  orcidid: 0000-0003-3993-6108
  surname: Stojkov
  fullname: Stojkov, Aleksandar
BackLink https://www.ncbi.nlm.nih.gov/pubmed/37190418$$D View this record in MEDLINE/PubMed
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Issue 4
Keywords European capital markets
sovereign bonds
structural entropy
Language English
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Snippet 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....
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StartPage 630
SubjectTerms 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
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Title Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective
URI https://www.ncbi.nlm.nih.gov/pubmed/37190418
https://www.proquest.com/docview/2806513230
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