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An analysis of network filtering methods to sovereign bond yields during COVID-19. | LitMetric

An analysis of network filtering methods to sovereign bond yields during COVID-19.

Physica A

Aboitiz School of Innovation, Technology, and Entrepreneurship, Asian Institute of Management, Makati, Philippines.

Published: July 2021

AI Article Synopsis

  • The study examines how the COVID-19 pandemic affected sovereign bond yields across 17 European countries from 2010 to 2020, focusing on changes in financial correlations.
  • The researchers utilized network filtering methods to analyze a correlation matrix, finding that the average correlation among bond yields decreased during the pandemic.
  • They also explored the relationships between economic and health variables in the context of these filtered networks, identifying significant connections among economic groups using an exponential random graph model.

Article Abstract

In this work, we investigate the impact of the COVID-19 pandemic on sovereign bond yields. We consider the temporal changes from financial correlations using network filtering methods. These methods consider a subset of links within the correlation matrix, which gives rise to a network structure. We use sovereign bond yield data from 17 European countries between the 2010 and 2020 period. We find the mean correlation to decrease across all filtering methods during the COVID-19 period. We also observe a distinctive trend between filtering methods under multiple network centrality measures. We then relate the significance of economic and health variables towards filtered networks within the COVID-19 period. Under an exponential random graph model, we are able to identify key relations between economic groups across different filtering methods.

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Source
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC9757980PMC
http://dx.doi.org/10.1016/j.physa.2021.125995DOI Listing

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