We estimate the time-varying long-run correlations of European sovereign bond markets to identify specific effects that are attributed to changing European regulatory and political dynamics over the last twenty years. Our empirical results from using the DCC-MIDAS methodology indicate that regulatory changes in Europe have created significant and negative impact on the long-run correlations within the month where the regulation is decided to be taken into action. This impact still remains in the following months and robust with respect to the trend component of the long-run correlations. A direct implication is that the more regulations the EU attempts to put in place, the lower the long-run convergence process of sovereign bond markets is. We then analyse the structural shifts in the long-run correlation dynamics with penalized contrasts methodology and try to find out the reasons of these severe changes. Accordingly, some of the structural shifts overlap with the dates of a limited number of regulatory changes, in addition to the major global economic and political events.

我们估计了欧洲主权债券市场随时间变化的长期相关性，以找出可归因于过去二十年来欧洲监管和政治动态变化的特定影响。我们使用DCC-MIDAS方法得出的经验结果表明，欧洲的法规变更对决定实施法规的当月内的长期关联产生了重大而负面的影响。在接下来的几个月中，这种影响仍然存在，并且就长期相关性的趋势成分而言仍然很强劲。直接的含义是，欧盟尝试制定的法规越多，主权债券市场的长期趋同过程就越低。然后，我们使用惩罚性对比方法分析了长期相关动力学中的结构变化，并试图找出这些严重变化的原因。因此，除了重大的全球经济和政治事件之外，某些结构性变化与有限的法规变更日期重叠。