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Sovereign bond market integration: the euro, trading platforms and globalisation

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  • Guntram B. Wolff
  • Alexander Schulz

Abstract

Study on sovereign bond market integration and the role of the euro, trading platforms and globalisation. We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Lander in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Lander. The euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high frequency integration.

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Bibliographic Info

Paper provided by Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission in its series European Economy - Economic Papers with number 332.

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Length: 48 pages
Date of creation: Jun 2008
Date of revision:
Handle: RePEc:euf:ecopap:0332

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Keywords: sovereign bond market; bond market integration; EMU; electronic trading; euro; globalisation; Wolff; Schulz;

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Cited by:
  1. Lorenzo Pozzi & Guido Wolswijk, 2008. "Have Euro Area Government Bond Risk Premia Converged To Their Common State?," Tinbergen Institute Discussion Papers 08-042/2, Tinbergen Institute, revised 07 Sep 2009.
  2. Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2009. "Towards a Common European Monetary Union Risk Free Rate," NBER Working Papers 15353, National Bureau of Economic Research, Inc.
  3. Avadanei, Andreea, 2010. "European corporate bond market integration: lessons from EMU," MPRA Paper 27309, University Library of Munich, Germany.
  4. Klaus Regling & Servaas Deroose & Reinhard Felke & Paul Kutos, 2010. "The Euro After Its First Decade : Weathering the Financial Storm and Enlarging the Euro Area," Governance Working Papers 22817, East Asian Bureau of Economic Research.

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