RT Journal Article
SR Electronic
T1 Dynamic Linkages among Major Sovereign Bond Yields
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 74
OP 87
DO 10.3905/jfi.2010.20.1.074
VO 20
IS 1
A1 Nikiforos T. Laopodis
YR 2010
UL https://pm-research.com/content/20/1/74.abstract
AB This article investigates the dynamic linkages among four major sovereign bond yields (German, Japanese, U.K., and U.S.) for the 1990–2010 period. Using VAR analysis and Engle’s dynamic conditional correlation GARCH specification, the author examines the short- and long-run linkages between yield pairs and finds that yield correlations are time-varying and differ during economic expansions and contractions. Finally, the author assesses the impact of bond yield correlations on the other bond yields’ dynamic correlations and report that the U.S. bond yield volatility affects the other yields’ correlations differently. The results have significant implications for bond portfolio construction and monetary policymaking.TOPICS: Fixed-income portfolio management, global markets, volatility measures, statistical methods