Integration of international bond markets: did anything change with EMU?
AbstractIn a recent article, Barr and Priestley (2004) show that using a conditional asset pricing model that allows variation in the price of, and exposure to, risk, there is strong evidence that national markets are partially integrated into world markets. This letter extends their analysis to the European monetary union period. We show that the level of integration raised in all countries except in Japan, which experienced a deflation period.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 14 (2007)
Issue (Month): 11 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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- Guntram B. Wolff & Alexander Schulz, 2008.
"Sovereign bond market integration: the euro, trading platforms and globalisation,"
European Economy - Economic Papers
332, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
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- Schulz, Alexander & Wolff, Guntram B., 2009. "Sovereign bond market integration: the euro, trading platforms and financial crises," MPRA Paper 16900, University Library of Munich, Germany.
- Kumar, Manmohan S. & Okimoto, Tatsuyoshi, 2011. "Dynamics of international integration of government securities' markets," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 142-154, January.
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