From Yield curve to macroeconomic inestability

Abstract

The aim of this work is to assess through yield curve the impact of the different crisis that have affected Germany, France, Italy and Spain between 2003 and 2014; furthermore, the differences that have arisen among these countries during these dates will be assessed as well. The crisis reviewed are “The Internet Bubble Burst” from late 2002, “The Great Recession” from 2008 and “The Sovereign Debt Crisis” that begins in 2010. The results clearly highlight that the euro area is divided in two groups. One which is formed by weaker countries like Italy and Spain that have been deeply affected by the crisis, particularly by the sovereign debt crisis from 2012. The other group would be formed by Germany and France, the strongest countries and where the impact of these crisis has been less severe and that even in the sovereign debt crisis period were able to obtain yields from negative bonds. Subsequently, a correlation among countries analysis has been performed and it has reflected that European countries are very correlated among them in the period of time studied.