Tag Archives: Grexit

Eurobond Correlation Network: a case history

Eurobond Correlation Network: a case history

During the last two decades, the European sovereign bond market has been driven not only by the converging mechanism of its common currency, but by the centrifugal forces of trade imbalances and unequal sovereign credit capacity also. The Eurozone government bond spreads experienced “euro convergence” at the end of the 90’s in expectation of theRead more

Eurobond Correlation Network: fearing the Grexit

Eurobond Correlation Network: fearing the Grexit

Over the last five years, fears over a Greek debt and a financial contagion spreading to PIGS countries have dominated Euro Bond markets. Looking into 10 year bond price correlations across the same period, we are able to observe that, in this time, the Greek markets have already decoupled from those of other EU states.Read more