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Integration of European Bond Markets

  • Charlotte Christiansen

    ()

    (Aarhus University and CREATES)

I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU members and stronger for old than new EU members. The integration is weaker for the sovereign debt crisis countries than for other countries. The integration of the EU bond markets is decreasing over time and this appears not to be caused by the recent ?nancial and sovereign debt crisis.

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File URL: ftp://ftp.econ.au.dk/creates/rp/12/rp12_33.pdf
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Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2012-33.

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Length: 18
Date of creation: 10 Jul 2012
Date of revision:
Handle: RePEc:aah:create:2012-33
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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  17. Charlotte Christiansen, 2007. "Volatility-Spillover Effects in European Bond Markets," European Financial Management, European Financial Management Association, vol. 13(5), pages 923-948.
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  23. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 0683, European Central Bank.
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  25. Sebastian Edwards, 1983. "LDC's Foreign Borrowing and Default Risk: An Empirical Investigation," NBER Working Papers 1172, National Bureau of Economic Research, Inc.
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