Sovereign bond spreads and economic variables of European countries under the analysis of self-organizing maps

Abstract

This paper presents an empirical analysis related to sovereign bond spreads and a set of economic variables since 1999 until 2013 for a sample of European countries. The analysis is carried out using an original tool in the financial literature: Self-Organizing Maps. This representation is able to cluster countries-years according to the similarities between their main macroeconomic fundamentals. We find interesting groups of countries and we relate them with their level of sovereign bond spreads. The results reflect the incidence of the last financial crisis over the economies and the effect over the eurozone.