CIOP   05384
CENTRO DE INVESTIGACIONES OPTICAS
Unidad Ejecutora - UE
congresos y reuniones científicas
Título:
European sovereign bonds, monetary union and financial crisis: an Information Theory approach
Autor/es:
AURELIO FERNÁNDEZ BARIVIERA; LUCIANO ZUNINO; MARÍA BELÉN GUERCIO; LISANA B. MARTINEZ; OSVALDO A. ROSSO
Lugar:
Segovia
Reunión:
Conferencia; XXI Finance Forum; 2013
Institución organizadora:
IE Business School
Resumen:
In this paper we study the evolution of the informational efficiency in its weak form for 17 European Union sovereign bonds time series. We aim to assess the impact of two specific economic situations in the random behavior of time series: the establishment of a common currency nand a wide and deep financial crisis. In order to assess the informational efficiency we use some permutation quantifiers derived from Information Theory. Specifically, time series are ranked according to two metrics that measures the intrinsic structure of their correlations: the permutation entropy and the permutation statistical complexity. These measures provide the rectangular coordinates of the Complexity Entropy Causality Plane; the planar location of the time series in this representation space reveals the degree of informational efficiency. According to our results, the currency union contributed to homogenize the stochastic characteristics of the time series and produced synchronization in the random behavior of them. Additionally, the 2008 financial crisis uncovered differences within the apparently-homogeneous European sovereign markets and revealed country-specific characteristics that were hidden during the monetary union heyday.