欧洲政府债券和EuroStoxx的交叉相关性
Cross correlations in European government bonds and EuroStoxx
摘要：
我们使用主成分分析（PCA）的交叉相关性在欧洲政府债券和欧洲股票，以研究欧洲经济中包含的系统性风险。我们处理的任务，可视化的风险演变，引入条件平均滚动和（CARS）。利用该工具我们发现，国债和股票的风险有一个独立的运动。但在欧洲主权债务危机的过程中，债券和股票之间的耦合度大幅增加。这导致了自2010年中期以来两个市场的风险同步振荡。在我们的数据中，我们观察到一个陡峭的振幅增加，这表明两个耦合系统的高度脆弱性。
英文摘要：
We use principle component analysis (PCA) of cross correlations in European government bonds and European stocks to investigate the systemic risk contained in the European economy. We tackle the task to visualize the evolution of risk, introducing the conditional average rolling sum (CARS). Using this tool we see that the risk of government bonds and stocks had an independent movement. But in the course of the European sovereign debt crisis the coupling between bonds and stocks has strongly ncreased. This results in an in-phase oscillation of risk for both markets since mid 2010. In our data, we observe a steep amplitude increase, suggesting a high vulnerability of the two coupled systems.
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