Sovereign bond market integration: the euro, trading platforms and financial crises
AbstractWe disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German states (Länder) since 1992. At a low frequency 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 Länder. The current financial turmoil has abated low frequency euroarea sovereign bond bond market integration, while it has had little effect on the integration with the US and UK. Bond market integration at a high frequency band remains 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 financial crisis does not effect high frequency integration, as no technology shock occurs.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 16900.
Date of creation: 2009
Date of revision:
sovereign bond market; bond market integration; EMU; electronic trading;
Find related papers by JEL classification:
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-30 (All new papers)
- NEP-EEC-2009-08-30 (European Economics)
- NEP-MAC-2009-08-30 (Macroeconomics)
- NEP-MIC-2009-08-30 (Microeconomics)
- NEP-MON-2009-08-30 (Monetary Economics)
- NEP-MST-2009-08-30 (Market Microstructure)
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