Sovereign bond spreads and economic variables of European countries under the analysis of self-organizing maps

Capítulo de Libro

Autoría:

Terceño Gómez, Antonio ; MARTINEZ, LISANA BELÉN ; Sorrosal Forradellas, M. Teresa ; GUERCIO, MARIA BELEN

Fecha:

2015

Editorial y Lugar de Edición:

Springer

Libro:

Scientific methods for the Treatment of uncertainty in social sciences (pp. 347-358)
Springer

ISBN:

978-3-319-19703-6

Resumen

This paper presents an empirical analysis related to sovereign bond spreads and a set of economic variables since 1999 until 2013 for a sample of European countries. The analysis is carried out using an original tool in the financialliterature: Self-Organizing Maps. This representation is able to cluster countries-years according to the similarities between their main macroeconomicfundamentals. We find interesting groups of countries and we relate them with their level of sovereign bond spreads. The results reflect the incidence of the last financial crisis over the economies and the effect over the eurozone.

Palabras Clave

FINANCIAL CRISISSELF ORGANIZING MAPSSOVEREIGN BONDS SPREADSEUROPEAN COUNTRIES

Descargue o solicite el texto completo:

http://hdl.handle.net/11336/189275