Articles producció científica> Gestió d'Empreses

Are European sovereign bond spreads in concordance with macroeconomic variables evolution?

  • Dades identificatives

    Identificador: imarina:6389015
    Autors:
    Sorrosal-Forradellas MMartinez LTerceño A
    Resum:
    © 2017, © Emerald Publishing Limited. Purpose: The last great financial crisis which arose in the middle of 2007 in the USA produced contagion effects over others economies. The purpose of this paper is focused on analyzing the evolution of a set of economic variables of 17 European countries since 1991 until 2013. Sovereign bond spreads are also considered to compare the incidence of the financial crisis over the economies considering macroeconomics fundamentals and fixed bonds. Design/methodology/approach: Self-organizing maps (SOMs) are used to achieve the purpose of the research. With this methodology, it is possible to analyze the evolution of the macroeconomic fundamentals of each country, obtaining particular and general conclusions according to the position of each country in the SOM. Moreover, the countries are compared between them and with its respective sovereign bond spreads level for each year of analysis. Findings: The impact of the crisis is different between the countries was analyzed. Belonging to the European Monetary Union is an interesting characteristic of some of the most affect economies. Research limitations/implications: This research presents wide implications for the economies to control the most vulnerable economic variables in front of financial crisis to prevent the contagion effect. The inclusion of more economic variables and countries could enhance the study. Originality/value: This research analyzes the relationship between macroeconomic variables and sovereign bond spreads using an infrequent methodology. The results obtained are valuable because they highlight how the present crisis has differently affected the European countries.
  • Altres:

    Autor segons l'article: Sorrosal-Forradellas M; Martinez L; Terceño A
    Departament: Gestió d'Empreses
    Autor/s de la URV: MARTÍNEZ, LISANA BELÉN / Sorrosal Forradellas, Maria Teresa / Terceño Gómez, Antonio
    Paraules clau: Yield spreads Sovereign bond spreads Self-organizing maps Risk Improve Financial crisis Economic variables Determinants
    Resum: © 2017, © Emerald Publishing Limited. Purpose: The last great financial crisis which arose in the middle of 2007 in the USA produced contagion effects over others economies. The purpose of this paper is focused on analyzing the evolution of a set of economic variables of 17 European countries since 1991 until 2013. Sovereign bond spreads are also considered to compare the incidence of the financial crisis over the economies considering macroeconomics fundamentals and fixed bonds. Design/methodology/approach: Self-organizing maps (SOMs) are used to achieve the purpose of the research. With this methodology, it is possible to analyze the evolution of the macroeconomic fundamentals of each country, obtaining particular and general conclusions according to the position of each country in the SOM. Moreover, the countries are compared between them and with its respective sovereign bond spreads level for each year of analysis. Findings: The impact of the crisis is different between the countries was analyzed. Belonging to the European Monetary Union is an interesting characteristic of some of the most affect economies. Research limitations/implications: This research presents wide implications for the economies to control the most vulnerable economic variables in front of financial crisis to prevent the contagion effect. The inclusion of more economic variables and countries could enhance the study. Originality/value: This research analyzes the relationship between macroeconomic variables and sovereign bond spreads using an infrequent methodology. The results obtained are valuable because they highlight how the present crisis has differently affected the European countries.
    Àrees temàtiques: Theoretical computer science Theoretical computer Software Social sciences (miscellaneous) Medicina ii Interdisciplinar Information systems Engineering (miscellaneous) Engenharias iv Engenharias iii Electrical and electronic engineering Control and systems engineering Computer science, cybernetics Computer science (miscellaneous) Ciências biológicas i Ciências ambientais Ciência da computação Artificial intelligence Arquitetura, urbanismo e design Arquitetura e urbanismo
    Accès a la llicència d'ús: https://creativecommons.org/licenses/by/3.0/es/
    ISSN: 0368-492X
    Adreça de correu electrònic de l'autor: antonio.terceno@urv.cat antonio.terceno@urv.cat mariateresa.sorrosal@urv.cat
    Identificador de l'autor: 0000-0001-5348-8837 0000-0001-5348-8837 0000-0003-4719-452X
    Data d'alta del registre: 2024-08-03
    Volum de revista: 46
    Versió de l'article dipositat: info:eu-repo/semantics/submittedVersion
    Enllaç font original: https://www.emerald.com/insight/publication/issn/0368-492X
    URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referència a l'article segons font original: Kybernetes. 46 (1): 85-101
    Referència de l'ítem segons les normes APA: Sorrosal-Forradellas M; Martinez L; Terceño A (2017). Are European sovereign bond spreads in concordance with macroeconomic variables evolution?. Kybernetes, 46(1), 85-101. DOI: 10.1108/K-06-2016-0121
    DOI de l'article: 10.1108/K-06-2016-0121
    Entitat: Universitat Rovira i Virgili
    Any de publicació de la revista: 2017
    Tipus de publicació: Journal Publications
  • Paraules clau:

    Artificial Intelligence,Computer Science (Miscellaneous),Computer Science, Cybernetics,Control and Systems Engineering,Electrical and Electronic Engineering,Engineering (Miscellaneous),Information Systems,Social Sciences (Miscellaneous),Software,Theoretical Computer,Theoretical Computer Science
    Yield spreads
    Sovereign bond spreads
    Self-organizing maps
    Risk
    Improve
    Financial crisis
    Economic variables
    Determinants
    Theoretical computer science
    Theoretical computer
    Software
    Social sciences (miscellaneous)
    Medicina ii
    Interdisciplinar
    Information systems
    Engineering (miscellaneous)
    Engenharias iv
    Engenharias iii
    Electrical and electronic engineering
    Control and systems engineering
    Computer science, cybernetics
    Computer science (miscellaneous)
    Ciências biológicas i
    Ciências ambientais
    Ciência da computação
    Artificial intelligence
    Arquitetura, urbanismo e design
    Arquitetura e urbanismo
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