Dynamic integration and network structure of the EMU sovereign bond markets

  • Ahmet Sensoy
  • Duc Khuong Nguyen
  • Ahmed Rostom
  • Erk Hacihasanoglu
S.I.: Risk in Financial Economics


In this paper, we propose a novel concept of correlation-based stable networks to empirically investigate the dynamic integration and network structure of the European Monetary Union (EMU) sovereign bond markets. The obtained results uncover a high degree of market integration between sample markets over the period preceding the recent financial crises, while segmentation is found afterwards. The stable network analysis shows, for its part, the existence of two different network structures before and after the onset of the European debt crisis, where the in-crisis network structure is characterized by two groups of countries with respect to their fiscal performance. In particular, Belgium is the unique vertex connecting the two groups, making it the channel for shock transmission in the event of worsening debt crisis in the EMU.


Sovereign debt European Economic and Monetary Union Network analysis Monetary policy Tapering 

JEL Classification

D08 E44 G02 G12 


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© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Faculty of Business AdministrationBilkent UniversityAnkaraTurkey
  2. 2.IPAG LabIPAG Business SchoolParisFrance
  3. 3.Finance and Markets Global Practice GroupThe World BankWashingtonUSA
  4. 4.Department of Business AdministrationAbdullah Gul UniversityKayseriTurkey

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