A connectedness analysis for euro area sovereign bonds

Abstract

In the last 20 years there had been some economic events that produced difficult situations also inside the sovereign bond market of euro area. Thus, inside this thesis will be analysed how the effects of these events caused changes inside the yields of a selected group of countries in the euro area through connectedness methods. After a description of what happened in the period 2000-2022 and the presentation of the model used in the empirical analysis, the analysis will take place considering the connectedness measures of the yields in different maturities. This is necessary for understanding if this method is useful for describing the movements of systemic risk and how it happens.