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Book part
Publication date: 12 November 2018

Bruno Broucker, Jeroen Huisman, Jef C. Verhoeven and Kurt De Wit

Higher education systems of small(er) countries may be less attractive to investigate, and it is likely that only a small indigenous research community is interested in…

Abstract

Higher education systems of small(er) countries may be less attractive to investigate, and it is likely that only a small indigenous research community is interested in and capable of researching such small systems. In this chapter, we map which studies have been carried out at the meso- and macro-levels of the Flemish higher education system since the early 2000s. It allows us to discover gaps in our understanding of that particular system. We conclude that it would be beneficial for all stakeholders involved (researchers, policymakers, institutional management) to try to align their research and practical interests and develop a research agenda that fits these interests.

Details

Theory and Method in Higher Education Research
Type: Book
ISBN: 978-1-78769-277-0

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Article
Publication date: 21 August 2017

Miguel Rodriguez Gonzalez, Frederik Kunze, Christoph Schwarzbach and Christoph Dieng

This paper aims to investigate the long-term relationships of long-term European Monetary Union (EMU) government bond yields. From an asset managers’ or risk managers 

Abstract

Purpose

This paper aims to investigate the long-term relationships of long-term European Monetary Union (EMU) government bond yields. From an asset managers’ or risk managers’ perspective during the euro crisis, the relevance of sovereign credit and redenomination risk became a major issue. Furthermore, it has to be differentiated between core and non-core EMU member countries.

Design/methodology/approach

Methods of applied time series analysis are used to investigate EMU government bond yields and EMU government bond yield spreads for Spain, Italy, The Netherlands, Austria and Germany. Both standard unit root testing procedures and breakpoint unit root tests are used to examine cointegrating relationships and structural changes in these relationships.

Findings

The empirical results deliver clear evidence for structural shifts in the long-term relationship between German and the two non-core EMU countries (Italy and Spain). The timing of the breaks coincides with the timing of the euro crisis. On the contrary, the results for Austria and The Netherlands are different from the findings for the two non-core countries.

Research limitations/implications

One major limitation of the study is the limited availability of data regarding to the reaction of asset managers or risk managers to the euro crisis. Especially in the context of the discussion with regard to the relevant risk-free rate for investors, this strand of research is relatively new.

Practical implications

A deeper understanding of changes in the long-term relationship between government bond yields and the re-emergence of redenomination risk is important for asset managers and risk managers in the financial services industry. This is especially true for German life insurers.

Originality/value

The study provides various empirical contributions to the literature on the euro crisis and sovereign credit risk. First, previous results with regard to the structural changes in the long-term relationship between German and Spanish, German and Italian, German and Austrian as well as Germany and Dutch government bond yields are confirmed using unit root breakpoint tests. Second, investigating the autoregressive coefficient and the timing of the breaks delivers evidence that non-core countries have been more exposed to the fear of redenomination risk. Third, we raise the question which risk free interest rate is relevant for the affected countries.

Details

The Journal of Risk Finance, vol. 18 no. 4
Type: Research Article
ISSN: 1526-5943

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