INVESTIGADORES
ROSSO Osvaldo Anibal
congresos y reuniones científicas
Título:
European sovereign bonds, monetary union and financial crisis: an information theory approach
Autor/es:
AURELIO FERNÁNDEZ BARIVIERA; LUCIANO ZUNINO; M. BELÉN GUERCIO; LISANA B. MARTINEZ; OSVALDO A. ROSSO
Lugar:
Segovia
Reunión:
Congreso; XXI Finance Forum; 2013
Institución organizadora:
Spanish Finance Association (AEFIN)
Resumen:
In this paper we study the evolution of the informational efficiency in its weak form for seventeen
European sovereign bonds time series. We aim to assess the impact of two specific economic situations in the
hypothetical random behavior of these time series: the establishment of a common currency and a wide and
deep financial crisis. In order to evaluate the informational efficiency we use permutation quantifiers derived
from information theory. Specifically, time series are ranked according to two metrics that measure the
intrinsic structure of their correlations: permutation entropy and 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 partially hidden during the monetary union heyday.