Revisiting the European sovereign bonds with a permutation-information-theory approach

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 a...

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Detalles Bibliográficos
Autores principales: Bariviera, Aurelio F., Zunino, Luciano José, Guercio, María Belén, Martinez, Lisana B., Rosso, Osvaldo Aníbal
Formato: Articulo
Lenguaje:Inglés
Publicado: 2013
Materias:
Información
Economía
informational efficiency
economy
permutation
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/138625
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-138625
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Información
Economía
informational efficiency
economy
permutation
spellingShingle Información
Economía
informational efficiency
economy
permutation
Bariviera, Aurelio F.
Zunino, Luciano José
Guercio, María Belén
Martinez, Lisana B.
Rosso, Osvaldo Aníbal
Revisiting the European sovereign bonds with a permutation-information-theory approach
topic_facet Información
Economía
informational efficiency
economy
permutation
description 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.
format Articulo
Articulo
author Bariviera, Aurelio F.
Zunino, Luciano José
Guercio, María Belén
Martinez, Lisana B.
Rosso, Osvaldo Aníbal
author_facet Bariviera, Aurelio F.
Zunino, Luciano José
Guercio, María Belén
Martinez, Lisana B.
Rosso, Osvaldo Aníbal
author_sort Bariviera, Aurelio F.
title Revisiting the European sovereign bonds with a permutation-information-theory approach
title_short Revisiting the European sovereign bonds with a permutation-information-theory approach
title_full Revisiting the European sovereign bonds with a permutation-information-theory approach
title_fullStr Revisiting the European sovereign bonds with a permutation-information-theory approach
title_full_unstemmed Revisiting the European sovereign bonds with a permutation-information-theory approach
title_sort revisiting the european sovereign bonds with a permutation-information-theory approach
publishDate 2013
url http://sedici.unlp.edu.ar/handle/10915/138625
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