Abstract:
Analysis on a sample of European corporate and government bonds. Study of geographic interconnections by modeling individual securities Yield to Maturity time series (bonds with homogeneous maturities), in order to define a network structure from which to derive market behavior drivers and crisis signals. Focus on the latest global crises, including the most recent from the spread of the Covid-19 virus. Main use of Forecast Error Variance Decomposition for the derivation of interconnection measures. Data collected through Bloomberg data providers, and modeled by applying R programming techniques, graphics and figures produced using the same techniques through the use of dedicated open source functional libraries.
