Figure 3.  Sovereign Bond (10-Year) Yields for selected European countries [8] and the US (10-Year Treasury Notes) [9].

[8] http://www.tradingeconomics.com/  

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Figure 3 presents the sovereign bond yields for the selected European countries of the earlier figures, and the US.  The numbers presented are the last yields available for sovereign 10-year bonds (notes) for the year in question.

Figure 4 is a calculation of the cross-correlation function between the rate of change of the sovereign debt (%) and the sovereign bond yields (10-Year) (%).  Negative correlations indicate that the two metrics were moving in opposite directions; zero correlation indicates that there were statistically no common occurrances between the two metrics; and a positive correlation indicates that the two metrics were moving in the same direction.

It is somewhat surprising to see that a significant decorrelation existed for the US and Italy for the period in question.  Since the rate of change of accumulation of soveregn debt is increasing and the sovereign yields are approaching "flat", from 2009-2011, for the US the two metrics yield a correlation moving in a slightly "positive" direction -- earlier (1998-2009) the US Yields dropped while the debt increased yielding a "negative" correlation. 

Similarly, for Italy, these two metrics are increasing, from 2009-2011, hence, the two metrics yield a correlation also moving in a "positive" direction.  This indicates a different mechanism to account for the performance of the two metrics (Figure 2 and Figure 4).  Again in 1998-2009 the debt increases and the yields decrease (Italy), hence the correlation stays "negative."

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Figure 4.  Cross-Correlation Function of the rate of change of Sovereign Debt (%) versus Sovereign Bond Yields (%) [7], [8], & [9].