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Defining Benchmark Status: An Application using Euro-Area Bonds

  • Peter G. Dunne
  • Michael J. Moore
  • Richard Portes

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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File URL: http://www.nber.org/papers/w9087.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 9087.

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Date of creation: Aug 2002
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Handle: RePEc:nbr:nberwo:9087
Note: AP IFM
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  1. 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.
  2. 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.
  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  4. 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 127-38, April.
  5. Missale, Alessandro, 1999. "Public Debt Management," OUP Catalogue, Oxford University Press, number 9780198290858, March.
  6. 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.
  7. 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.
  8. Gabriele Galati & Kostas Tsatsaronis, 2001. "The impact of the euro on Europe's financial markets," BIS Working Papers 100, Bank for International Settlements.
  9. 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.
  10. 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.
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