Revisiting the European sovereign bonds with a permutation-information-theory approach
In this paper we study the evolution of the informational efficiency in its weak form for seventeen European sovereign bonds time series. We aim to assess the impact of two specific economic situations in the hypothetical random behavior of these time series: the establishment of a common currency a...
| Autores: | , , , , |
|---|---|
| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2013 |
| País: | Argentina |
| Institución: | Consejo Nacional de Investigaciones Científicas y Técnicas |
| Repositorio: | CONICET Digital (CONICET) |
| Idioma: | inglés |
| OAI Identifier: | oai:ri.conicet.gov.ar:11336/2010 |
| Acceso en línea: | http://hdl.handle.net/11336/2010 |
| Access Level: | acceso abierto |
| Palabra clave: | Sovereign Bonds Financial Crisis European Bond Markets https://purl.org/becyt/ford/1.1 https://purl.org/becyt/ford/1 https://purl.org/becyt/ford/5.2 https://purl.org/becyt/ford/5 |
| Sumario: | In this paper we study the evolution of the informational efficiency in its weak form for seventeen European sovereign bonds time series. We aim to assess the impact of two specific economic situations in the hypothetical random behavior of these time series: the establishment of a common currency and a wide and deep financial crisis. In order to evaluate the informational efficiency we use permutation quantifiers derived from information theory. Specifically, time series are ranked according to two metrics that measure the intrinsic structure of their correlations: permutation entropy and permutation statistical complexity. These measures provide the rectangular coordinates of the complexity-entropy causality plane; the planar location of the time series in this representation space reveals the degree of informational efficiency. According to our results, the currency union contributed to homogenize the stochastic characteristics of the time series and produced synchronization in the random behavior of them. Additionally, the 2008 financial crisis uncovered differences within the apparently homogeneous European sovereign markets and revealed country-specific characteristics that were partially hidden during the monetary union heyday. |
|---|