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

Gilles Dufrénot (), Fredj Jawadi and Zied Ftiti ()

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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.

Keywords: Financial integration; Euro area; Sovereign bonds; Fundamentals (search for similar items in EconPapers)
Date: 2022-11
New Economics Papers: this item is included in nep-eec
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Published in Annals of Operations Research, 2022, 318 (1), pp.147-161. ⟨10.1007/s10479-022-04847-5⟩

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Journal Article: Sovereign bond market integration in the euro area: a new empirical conceptualization (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03740521

DOI: 10.1007/s10479-022-04847-5

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