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Defining Benchmark Status: An Application using Euro-Area Bonds

  • Dunne, Peter
  • Moore, Michael J
  • Portes, Richard

The introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the ‘benchmark’ in this market. We develop and apply two definitions of benchmark status that differ from the conventional view that the benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a complex pattern of benchmark status in euro-area government bonds.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3490.

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Date of creation: Aug 2002
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Handle: RePEc:cpr:ceprdp:3490
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  1. Vacca, V. & Scalia, A., 1999. "Does Market Transparency Matter? A Case Study," Papers 359, Banca Italia - Servizio di Studi.
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  4. Marco Barassi & Guglielmo Maria Caporale & Stephen Hall, 2005. "Interest rate linkages: identifying structural relations," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 977-986.
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  6. Robert N McCauley, 1999. "The Euro and the Liquidity of European Fixed Income Markets," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-26 Bank for International Settlements.
  7. Gabriele Galati & Kostas Tsatsaronis, 2001. "The impact of the euro on Europe's financial markets," BIS Working Papers 100, Bank for International Settlements.
  8. Roberto Blanco, 2001. "The Euro-Area Government Securities Markets. Recent Developments and Implications for Market Functioning," Banco de Espa�a Working Papers 0120, Banco de Espa�a.
  9. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  10. Missale, Alessandro, 1999. "Public Debt Management," OUP Catalogue, Oxford University Press, number 9780198290858, March.
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