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Government bond market linkages: evidence from Europe

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Jian Yang

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Abstract

This paper examines linkages among six major European government bond markets (Germany, France, Italy, UK, Belgium and the Netherlands) during 1988--2003. There is weak evidence that a stable long-run relationship exists among the six markets during the sample period. Granger causal linkages are generally not pronounced between the markets, while the contemporaneous correlation is strong between bond market innovations. Allowing for both Granger causal relationships and contemporaneous correlation, forecast error variance decomposition suggests that European bond markets are generally interdependent without a distinctive leadership. There is also some evidence that the UK and Italy may be less integrated with other markets, possibly due to their nonparticipation in the European Monetary System during part of the sample period.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 15 (2005)
Issue (Month): 9 (June)
Pages: 599-610
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Handle: RePEc:taf:apfiec:v:15:y:2005:i:9:p:599-610

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  2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
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  4. Jian Yang & R. Brian Balyeat & David J. Leatham, 2005. "Futures Trading Activity and Commodity Cash Price Volatility," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 32(1-2), pages 297-323. [Downloadable!] (restricted)
  5. Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
  6. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
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  7. Hall, S G, 1989. "Maximum Likelihood Estimation of Cointegration Vectors: An Example of the Johansen Procedure," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 51(2), pages 213-18, March.
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  9. Uctum, Merih, 1999. "European integration and asymmetry in the EMS," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 769-798, October. [Downloadable!] (restricted)
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  10. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  11. Sutton, Gregory D., 2000. "Is there excess comovement of bond yields between countries?," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 363-376, June. [Downloadable!] (restricted)
  12. Jian Yang & Insik Min & Qi Li, 2003. "European Stock Market Integration: Does EMU Matter?," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 30(9-10), pages 1253-1276. [Downloadable!] (restricted)
  13. Kirchgassner, Gebhard & Wolters, Jurgen, 1987. "U.S.-European Interest Rate Linkage: A Time Series Analysis for West Germany, Switzerland, and the United States," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 675-84, November. [Downloadable!] (restricted)
  14. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April. [Downloadable!] (restricted)
  15. Barassi, Marco R & Caporale, Guglielmo Maria & Hall, Stephen G, 2001. "Irreducibility and Structural Cointegrating Relations: An Application to the G-7 Long-Term Interest Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(2), pages 127-38, April. [Downloadable!] (restricted)
  16. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January. [Downloadable!] (restricted)
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  17. DeGennaro, Ramon P & Kunkel, Robert A & Lee, Junsoo, 1994. "Modeling International Long-Term Interest Rates," The Financial Review, Eastern Finance Association, vol. 29(4), pages 577-97, November.
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jian Yang, 2006. "Information transmission between Eurocurrency and domestic interest rates: evidence from the UK," Applied Financial Economics, Taylor and Francis Journals, vol. 16(9), pages 675-685, June. [Downloadable!] (restricted)
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