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EMU and European government bond market integration

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Listed author(s):
  • Abad, Pilar
  • Chuliá, Helena
  • Gómez-Puig, Marta

Abstract

In this study we adopt the CAPM-based model of Bekaert and Harvey (1995) to compare the differences in the relative importance of two sources of systemic risk (world and Eurozone) on Government bond returns, in two groups of countries in EU-15. Results show that euro markets are less vulnerable to the influence of world risk factors, and more vulnerable to EMU risk factors. However, they are only partially integrated. For their part, the markets of the countries that decided to stay out of the Monetary Union present a higher vulnerability to external risk factors.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(09)00285-4
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 34 (2010)
Issue (Month): 12 (December)
Pages: 2851-2860

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Handle: RePEc:eee:jbfina:v:34:y:2010:i:12:p:2851-2860
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

Keywords: Monetary integration Sovereign securities Bond markets integration;

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Find related papers by JEL classification:
  • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
  • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
  • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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