TRANSFORMATION OF GOVERNMENT BOND YIELDS DURING THE DEBT CRISIS

Authors

  • S. Yakubovskiy Odesa I.I. Mechnikov National University, Department of Economic Theory and International Economic Relations, Dvoryanska Str., 2, Odessa, 65000
  • R. Hryhorian Odesa I.I.Mechnikov National University, Department of International Economic Relations, Dvoryanska Str., 2, Odessa, 65000
  • V. Derenko Odesa I.I.Mechnikov National University, Department of International Economic Relations, Dvoryanska Str., 2, Odessa, 65000

DOI:

https://doi.org/10.15330/apred.1.16.17-29

Keywords:

government bonds, debt crisis, ECB, government debt, government budget, long-term and short-term yield

Abstract

The article analyzes the yield on government bonds, both long-term and short-term, the countries most affected by the debt crisis, namely Greece, Italy, Portugal, as well as the countries that have benefited most from the circumstances, namely Germany and France. There was an increase in the yield of two types of government bonds (maturity of 10 years and 1 year) for all analyzed countries (except Germany and France) during the debt crisis since late 2009. The peak yield on government bonds in Southern Europe fell in 2011. During the debt crisis, German government bonds benefited and, as a result, the yields on German and French government bonds declined. In the following years, the yield on government bonds of Southern Europe, as well as Germany and France declined. The article also constructs vector autoregressions (VARs) of interdependence between different types of government bond yields, their difference and government debt, government budget, GDP of the analyzed countries. It was found that in Germany, the relationship of these indicators was not observed. However, there is a strong unilateral dependence of government debt on the yield on long-term and short-term government bonds, as well as government debt on the yield difference. In France, there is an interdependence between government debt and the yield of short-term bonds. It is worth noting the strong dependence of long-term profitability on government debt, as well as the impact of government debt on the difference. In Greece, there is a dependence of the yield on long-term government bonds, as well as the difference between all three indicators. In Portugal, there is a strong relationship between the yield on short-term bonds and government debt, as well as between the government budget and the difference. In Italy, there is an uneven relationship between the yield on the two types and GDP, and the yield on long-term and short-term government bonds depends on the government budget. There is also a strong impact of government debt on the difference in yields on government bonds.

Author Biographies

S. Yakubovskiy , Odesa I.I. Mechnikov National University, Department of Economic Theory and International Economic Relations, Dvoryanska Str., 2, Odessa, 65000

D. Sc. Econ., Professor

R. Hryhorian , Odesa I.I.Mechnikov National University, Department of International Economic Relations, Dvoryanska Str., 2, Odessa, 65000

master

V. Derenko , Odesa I.I.Mechnikov National University, Department of International Economic Relations, Dvoryanska Str., 2, Odessa, 65000

master

References

1. Ma, R., Anderson, H., and B. Marshall. “Risk perceptions and international stock market liquidity.” Journal of International Financial Markets, Institutions and Money, vol. 62, 2019, pp. 94-116.
2. Avramov, D., Chordia, T., Jostova, G., and A. Philipov. “Bonds, Stocks, and Sources of Mispricing.” George Mason University School of Business Research Paper, vol. 18 (5), 2019, pp. 31-32.
3. Perego, E., and W. Vermeulena. “Macro-economic determinants of European stock and government bond correlations: A tale of two regions.” Journal of Empirical Finance, vol. 37, 2016, pp. 214-232.
4. Beetsma, R., Jonge, F., Giuliodori, M., and D. Widijanto. “Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme.” Journal of International Money and Finance, vol. 74, 2017, pp. 14-31.
5. Langenohl, A. “Securities markets and political securitization. The case of the sovereign debt crisis in the Eurozone.” Security Dialogue, vol. 48 (2), 2017, pp. 123-141.
6. Ghysels, E., Idier, J., Manganelli, S., and O. Vergote. “A High-Frequency assessment of the ECB Securities Markets Programme.” Journal of the European Economic Association, vol. 15 (1), 2017, pp. 218-243.
7. Eser, F., Schwaab, B. “Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme.” Journal of Financial Economics, vol. 119 (1), 2016, pp. 147-167.
8. Government statistics, Eurostat, ec.europa.eu/eurostat/data/database. Accessed 3 Nov. 2020.

Downloads

Published

2020-11-25

How to Cite

Yakubovskiy , S., Hryhorian , R., & Derenko , V. (2020). TRANSFORMATION OF GOVERNMENT BOND YIELDS DURING THE DEBT CRISIS. The Actual Problems of Regional Economy Development, 1(16), 17–29. https://doi.org/10.15330/apred.1.16.17-29

Issue

Vol. 1 No. 16 (2020): THE ACTUAL PROBLEMS OF REGIONAL ECONOMY DEVELOPMENT

Section

Public finance

License

Authors who publish with this journal agree to the following terms:
    1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution NonCommercial NoDerivs 4.0 Unported License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
    1. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
  1. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access)