Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/33237
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dc.date.accessioned2018-08-31T07:06:17Z-
dc.date.available2018-08-31T07:06:17Z-
dc.date.issued2017-
dc.identifier.citationEllul, R. (2017). Correlation between Maltese and euro area sovereign bond yields. Central Bank of Malta WP/03/2017.en_GB
dc.identifier.urihttps://www.um.edu.mt/library/oar//handle/123456789/33237-
dc.description.abstractThis paper investigates correlation in Malta government stock (MGS) yields and assesses correlation between these yields and those of Malta’s major euro area partners. Correlation coefficients are found to be high, indicating the existence of a long-run relationship in the setting of MGS yields with short-term deviations. The analysis also includes an MGARCH-DCC(1,1) system based on spreads over the German ten-year bond, which are modelled for eleven euro area countries. Dynamic conditional correlations (DCCs) confirm that Maltese ten-year bond yields tend to be broadly insulated from event specific volatility in other countries’ yields. Simple ‘benchmark’ regressions are estimated over the period 2007 – 2016, allowing the comparison of actual ten-year bond yields with composite equation outputs. The benchmarked yields based on euro area bonds track consistently actual MGS yields, while from mid-2015 onwards, MGS yields follow closely a benchmark derived on the basis of underlying economic fundamentals.en_GB
dc.language.isoenen_GB
dc.publisherCentral Bank of Maltaen_GB
dc.rightsinfo:eu-repo/semantics/openAccessen_GB
dc.subjectGovernment securities -- Maltaen_GB
dc.subjectState bonds -- Maltaen_GB
dc.subjectBonds -- Europeen_GB
dc.subjectCorrelation (Statistics)en_GB
dc.titleCorrelation between Maltese and euro area sovereign bond yieldsen_GB
dc.typeworkingPaperen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.description.reviewedN/Aen_GB
dc.contributor.creatorEllul, Reuben-
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