Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective
This study uses structural entropy as a valuable method for studying complex networks in a macro-finance context, such as the European government bond market. We make two contributions to the empirical literature on sovereign bond markets and entropy in complex networks. Firstly, our article contrib...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-04-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/25/4/630 |
| _version_ | 1797605559420059648 |
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| author | Thierry Warin Aleksandar Stojkov |
| author_facet | Thierry Warin Aleksandar Stojkov |
| author_sort | Thierry Warin |
| collection | DOAJ |
| description | This study uses structural entropy as a valuable method for studying complex networks in a macro-finance context, such as the European government bond market. We make two contributions to the empirical literature on sovereign bond markets and entropy in complex networks. Firstly, our article contributes to the empirical literature on the disciplinary function of credit markets from an entropy perspective. In particular, we study bond yield differentials at an average daily frequency among EU countries’ 10-year Eurobonds issued between 1 January 1997, and 4 October 2022. Secondly, the article brings a methodological novelty by incorporating an entropy perspective to the study of government bond yield differentials and European capital market integration. Entropy-based methods hold strong potential to bring new sources of dynamism and valuable contributions to the areas of macroeconomics and finance. |
| first_indexed | 2024-03-11T05:02:49Z |
| format | Article |
| id | doaj.art-226d1453c57146dd943f3482dc954e09 |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-03-11T05:02:49Z |
| publishDate | 2023-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-226d1453c57146dd943f3482dc954e092023-11-17T19:08:48ZengMDPI AGEntropy1099-43002023-04-0125463010.3390/e25040630Sovereign Bond Yield Differentials across Europe: A Structural Entropy PerspectiveThierry Warin0Aleksandar Stojkov1Department of International Business, HEC Montreal, Montréal, QC H3T 2A7, CanadaDepartment of Business Law and Economics, Iustinianus Primus Law Faculty, Ss. Cyril and Methodius University, 1000 Skopje, North MacedoniaThis study uses structural entropy as a valuable method for studying complex networks in a macro-finance context, such as the European government bond market. We make two contributions to the empirical literature on sovereign bond markets and entropy in complex networks. Firstly, our article contributes to the empirical literature on the disciplinary function of credit markets from an entropy perspective. In particular, we study bond yield differentials at an average daily frequency among EU countries’ 10-year Eurobonds issued between 1 January 1997, and 4 October 2022. Secondly, the article brings a methodological novelty by incorporating an entropy perspective to the study of government bond yield differentials and European capital market integration. Entropy-based methods hold strong potential to bring new sources of dynamism and valuable contributions to the areas of macroeconomics and finance.https://www.mdpi.com/1099-4300/25/4/630structural entropysovereign bondsEuropean capital markets |
| spellingShingle | Thierry Warin Aleksandar Stojkov Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective Entropy structural entropy sovereign bonds European capital markets |
| title | Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective |
| title_full | Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective |
| title_fullStr | Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective |
| title_full_unstemmed | Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective |
| title_short | Sovereign Bond Yield Differentials across Europe: A Structural Entropy Perspective |
| title_sort | sovereign bond yield differentials across europe a structural entropy perspective |
| topic | structural entropy sovereign bonds European capital markets |
| url | https://www.mdpi.com/1099-4300/25/4/630 |
| work_keys_str_mv | AT thierrywarin sovereignbondyielddifferentialsacrosseuropeastructuralentropyperspective AT aleksandarstojkov sovereignbondyielddifferentialsacrosseuropeastructuralentropyperspective |