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

Pang, Raymond Ka-kay, Granados, Oscar M., Chhajer, Harsh and Legara, Erika Fille T. (2021) An analysis of network filtering methods to sovereign bond yields during COVID-19. Physica a : Statistical Mechanics and Its Applications, 574. ISSN 0378-4371

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Identification Number: 10.1016/j.physa.2021.125995

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.

Item Type: Article
Official URL: https://www.sciencedirect.com/journal/physica-a-st...
Additional Information: © 2021 Elsevier B.V.
Divisions: Mathematics
Subjects: H Social Sciences > HV Social pathology. Social and public welfare. Criminology
R Medicine > RA Public aspects of medicine > RA0421 Public health. Hygiene. Preventive Medicine
H Social Sciences > HG Finance
Date Deposited: 16 Apr 2021 12:54
Last Modified: 20 Aug 2021 01:11
URI: http://eprints.lse.ac.uk/id/eprint/109886

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