Defining Benchmark Status: An Application using Euro-Area Bonds
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.
|Date of creation:||Aug 2002|
|Contact details of provider:|| Postal: Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ.|
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
|Order Information:|| Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Davidson, James, 1998. "Structural relations, cointegration and identification: some simple results and their application," Journal of Econometrics, Elsevier, vol. 87(1), pages 87-113, August.
- Roberto Blanco, 2002. "Euro area government securities markets: recent developments and implications for market functioning," BIS Papers chapters,in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 65-85 Bank for International Settlements.
- Gabriele Galati & Kostas Tsatsaronis, 2001. "The impact of the euro on Europe's financial markets," BIS Working Papers 100, Bank for International Settlements.
- Barassi, Marco R & Caporale, Guglielmo Maria & Hall, Stephen G, 2001. "Irreducibility and Structural Cointegrating Relations: An Application to the G-7 Long-Term Interest Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(2), pages 127-138, April.
- Antonio Scalia & Valerio Vacca, 2001.
"Does market transparency matter? A case study,"
BIS Papers chapters,in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 113-144
Bank for International Settlements.
- Antonio Scalia & Valerio Vacca, 1999. "Does Market Transparency Matter? A Case Study," CGFS Papers chapters,in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-27 Bank for International Settlements.
- Antonio Scalia & Valerio Vacca, 1999. "Does Market Transparency Matter? a Case Study," Temi di discussione (Economic working papers) 359, Bank of Italy, Economic Research and International Relations Area.
- Vacca, V. & Scalia, A., 1999. "Does Market Transparency Matter? A Case Study," Papers 359, Banca Italia - Servizio di Studi.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- 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.
- Missale, Alessandro, 1999. "Public Debt Management," OUP Catalogue, Oxford University Press, number 9780198290858.
- Roberto Blanco, 2001. "The Euro-Area Government Securities Markets. Recent Developments and Implications for Market Functioning," Working Papers 0120, Banco de España;Working Papers Homepage. Full references (including those not matched with items on IDEAS)