Defining Benchmark Status: An Application using Euro-Area Bonds
AbstractThe introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the ‘benchmark’ in this market. We develop and apply two definitions of benchmark status that differ from the conventional view that the benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a complex pattern of benchmark status in euro-area government bonds.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3490.
Date of creation: Aug 2002
Date of revision:
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Other versions of this item:
- Peter G. Dunne & Michael J. Moore & Richard Portes, 2002. "Defining Benchmark Status: An Application using Euro-Area Bonds," NBER Working Papers 9087, National Bureau of Economic Research, Inc.
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-03-14 (All new papers)
- NEP-CFN-2003-03-14 (Corporate Finance)
- NEP-RMG-2003-03-14 (Risk Management)
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