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

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Author Info
Wolff, Guntram B.
Schulz, Alexander

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Abstract

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 Länder 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 Länder. 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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Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2008,12.

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Date of creation: 2008
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Handle: RePEc:zbw:bubdp1:7339

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Related research
Keywords: sovereign bond market; bond market integration; EMU; electronic trading;

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Find related papers by JEL classification:
E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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    Other versions:
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  15. Nicola Lamedica & Roberto Reno, 2007. "Integration of international bond markets: did anything change with EMU?," Applied Economics Letters, Taylor and Francis Journals, vol. 14(11), pages 829-832. [Downloadable!] (restricted)
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