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European government bond market integration in turbulent times

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  • Pilar Abad

    () (Department of Economics, Riskcenter-IREA, Universidad Rey Juan Carlos)

  • Helena Chuliá

    () (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)

Abstract

We investigate the dynamics of European government bond market integration during the financial crisis and, subsequently, during the European sovereign debt crisis. Based on the approach developed by Bae et al. (2003), we adopt an intuitive measure of integration: the higher the number of joint extreme price rises or falls, the higher the degree of integration. We also analyse the underlying determinants of the dynamics of integration using a binomial logistic regression. Our results reveal that the level of integration of European government bond markets with the euro area has changed over time, with notable differences between the financial and the European sovereign debt crises. We find that the Euribor, unexpected monetary policy announcements from the ECB and both regional and international volatility play an important role in determining the level of integration, and that, in general, the relevance of these factors does not change between the financial and the sovereign debt crises.

Suggested Citation

  • Pilar Abad & Helena Chuliá, 2014. "European government bond market integration in turbulent times," Working Papers 2014-08, Universitat de Barcelona, UB Riskcenter.
  • Handle: RePEc:bak:wpaper:201408
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    References listed on IDEAS

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    3. Kim, Suk-Joong & Lucey, Brian M. & Wu, Eliza, 2006. "Dynamics of bond market integration between established and accession European Union countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 41-56, February.
    4. Marco Pagano, 2004. "The European Bond Markets under EMU," Oxford Review of Economic Policy, Oxford University Press, vol. 20(4), pages 531-554, Winter.
    5. Pilar Abad & Helena Chuliá, 2013. "“European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration”," IREA Working Papers 201325, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
    6. Michael Ehrmann & Marcel Fratzscher & Refet S Güürkaynak & Eric T Swanson, 2011. "Convergence and Anchoring of Yield Curves in the Euro Area," The Review of Economics and Statistics, MIT Press, vol. 93(1), pages 350-364, February.
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    Cited by:

    1. Wohlmann, Monika, 2015. "Finanzmarktintegration in Mittelosteuropa: Eine empirische Analyse der integrativen Wirkung des Euro," Arbeitspapiere der FOM 55, FOM Hochschule für Oekonomie & Management.
    2. Manuela Alcañiz & Aïda Solé-Auró, 2017. "Ageing and health-related quality of life: evidence from Catalonia (Spain)," Working Papers 2018-01, Universitat de Barcelona, UB Riskcenter.
    3. Mercedes Ayuso & Montserrat Guillén & Jens Perch Nielsen, 2017. "Improving automobile insurance ratemaking using telematics: incorporating mileage and driver behaviour data," Working Papers 2017-01, Universitat de Barcelona, UB Riskcenter.
    4. Estefanía Alaminos & Mercedes Ayuso, 2015. "Methodological Approach of a Multiple State Actuarial Model for the Married - Widower case for the assessment of retirement and widowhood pensions," Working Papers 2015-04, Universitat de Barcelona, UB Riskcenter.

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    Keywords

    financial integration; European government bond markets; coexceedances; extreme returns; logistic regression;

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