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dc.contributor.authorMetadjer, Naoise
dc.contributor.authorRaghavendra, Srinivas
dc.date.accessioned2013-11-08T12:52:24Z
dc.date.available2013-11-08T12:52:24Z
dc.date.issued2013
dc.identifier.citationNaoise Metadjer; Srinivas Raghavendra (2013) Critical Transitions in Eurozone Sovereign Bond Markets. Working Paperen_US
dc.identifier.urihttp://hdl.handle.net/10379/3792
dc.descriptionWorking paperen_US
dc.description.abstractIn this paper we present empirical evidence that the sovereign bond markets may have undergone a catastrophic transition during the Eurozone debt crisis. We find evidence of a phenomenon called critical slowing down that theory predicts should precede such transitions. Two alternate approaches are used to detect critical slowing down. Firstly we estimate the domain of attraction, a methodology that has been used to detect critical transitions in ecological systems, which examines the rate at which a system returns to equilibrium following a stochastic shock. Secondly, we examine the statistical properties of sovereign bond yield data for trends which have been shown to precede catastrophic regime shifts between alternate steady states in many real world dynamical systems. Our results indicate that critical transitions approach provides an alternative method to study financial market crashes and the phenomenon of critical slowing down estimated from the statistical properties of the financial data may act asa useful early warning signal in predicting the crashes.en_US
dc.description.sponsorshipIrish Research Council for the Humanities and Social Sciences Hardiman Research Scholarshipsen_US
dc.formatapplication/docen_US
dc.language.isoenen_US
dc.publisherDepartment of Economics, National University of Ireland, Galwayen_US
dc.subjectFinancial crisesen_US
dc.subjectBond interest rateen_US
dc.subjectBifurcationen_US
dc.subjectDomain of attractionen_US
dc.subjectEarly-warning signalsen_US
dc.subjectCritical slowing downen_US
dc.subjectMultiple equilibriaen_US
dc.titleCritical transitions in Eurozone sovereign bond marketsen_US
dc.typeWorking Paperen_US
dc.date.updated2013-10-03T11:15:30Z
dc.description.peer-reviewednon-peer-reviewed
dc.contributor.funder|~|IRCHSS|~|
dc.internal.rssid5130081
dc.local.contactSrinivasan Raghavendran, Department Of Economics, Nui, Galway. 5025 Email: s.raghav@nuigalway.ie
dc.local.copyrightcheckedYes
dc.local.versionSUBMITTED
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