Dynamics of Bond Market Integration between Existing And Accession EU Countries
AbstractIn this paper, we use a set of complementary techniques to examine the time-varying level of integration of European government bond markets. We consider daily bond returns and prices over the 1998-2003 period. Strong contemporaneous and dynamic linkages are found between individual European Union (EU) markets and the German market. However, there is no such evidence for the three accession markets of the Czech Republic, Hungary and Poland. The UK’s market is also considered. In general, the degree of integration for the accession markets is weak and stable, with little evidence of further deepening despite the increased political integration.
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Bibliographic InfoPaper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp025.
Date of creation: 28 Jan 2005
Date of revision:
Bond Indices; Cointegration; GARCH Models; Integration; Kalman Filter;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-30 (All new papers)
- NEP-EEC-2005-04-30 (European Economics)
- NEP-TRA-2005-04-30 (Transition Economics)
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