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Integration and Disintegration of EMU Government Bond Markets

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  • Christian Leschinski

    (Faculty of Economics and Management, Leibniz University Hannover, D-30167 Hannover, Germany)

  • Michelle Voges

    (Faculty of Economics and Management, Leibniz University Hannover, D-30167 Hannover, Germany)

  • Philipp Sibbertsen

    (Faculty of Economics and Management, Leibniz University Hannover, D-30167 Hannover, Germany)

Abstract

It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods of integration and disintegration that coincide with bull and bear market periods in the stock market. An econometric argument about the spectral behavior of long-memory time series leads to the conclusion that there is a stronger differentiation between bonds with different default risks. This implied the possibility of macroeconomic and fiscal divergence between the EMU countries before the crisis periods.

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  • Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    • Handle: RePEc:gam:jecnmx:v:9:y:2021:i:1:p:13-:d:517289
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    Cited by:

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    2. Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
    3. Paulo M.M. Rodrigues & Philipp Sibbertsen, 2019. "Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium," Working Papers w201912, Banco de Portugal, Economics and Research Department.
    4. Lena Dräger & Theoplasti Kolaiti & Philipp Sibbertsen, 2023. "Measuring macroeconomic convergence and divergence within EMU using long memory," Empirical Economics, Springer, vol. 65(5), pages 2333-2356, November.

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    More about this item

    Keywords

    fractional cointegration; market integration; yield spreads; EMU;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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