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Sovereign bond market integration in the euro area: a new empirical conceptualization

Author

Listed:
  • Gilles Dufrénot

    (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Fredj Jawadi

    (RIME-Lab - Recherche Interdisciplinaire en Management et Économie Lab - ULR 7396 - UA - Université d'Artois - Université de Lille, LUMEN - Lille University Management Lab - ULR 4999 - Université de Lille)

  • Zied Ftiti

    (EDC - EDC Paris Business School)

Abstract

This paper proposes a new empirical conceptualization of financial integration of sovereign bond markets in the euro area. We introduce a methodology based on the joint testing of the assumptions of efficient market and convergence/divergence of the yield spreads. We test these assumptions by proposing parametric and non-parametric techniques. We find that markets have been more fragmented than usually advocated in the literature. We also show that the information contained in the fundamentals are not always fully reflected in the spreads, which suggests that either they have insignificant effects, or that their coefficients in the spread equations appear with the wrong sign.

Suggested Citation

  • Gilles Dufrénot & Fredj Jawadi & Zied Ftiti, 2022. "Sovereign bond market integration in the euro area: a new empirical conceptualization," Post-Print hal-03740521, HAL.
    • Handle: RePEc:hal:journl:hal-03740521
    DOI: 10.1007/s10479-022-04847-5
    Note: View the original document on HAL open archive server: https://amu.hal.science/hal-03740521
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    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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