Table of Contents
Economics Research International
Volume 2014, Article ID 219652, 8 pages
Research Article

Are Eurozone Fixed Income Markets Integrated? An Analysis Based on Wavelet Multiple Correlation and Cross Correlation

1Department of Economic Environment and Strategy, IMT, Ghaziabad 201001, India
2Department of Mathematics, University of Kashmir, South Campus, Anantnag, Jammu and Kashmir 192101, India

Received 2 June 2014; Accepted 22 July 2014; Published 28 August 2014

Academic Editor: João Ricardo Faria

Copyright © 2014 Arif Billah Dar and Firdous Ahmad Shah. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This paper investigates the synchronization of fixed income markets within Eurozone countries using the new wavelet based methodology. Conventional wavelet methods that use multivariate set of variables to calculate pairwise correlation and cross correlation lead to spurious correlation due to possible relationships with other variables, amplification of type-1 errors, and results, in the form of large set of erroneous graphs. Given these disadvantages of conventional wavelet based pairwise correlation and cross-correlation method, we avoid these limitations by using wavelet multiple correlation and multiple cross correlations to analyze the relationships in Eurozone fixed income markets. Our results based on this methodology indicate that Eurozone fixed income markets are highly integrated and this integration grows with timescales, and hence there is almost no scope for independent monetary policy and bond diversification in these countries.