Dynamics of Bond Market Integration between Existing And Accession EU Countries

Brian M. Lucey (), Suk-Joong Kim () and Eliza Wu ()

The Institute for International Integration Studies Discussion Paper Series from IIIS

Abstract: In this paper, we use a set of complementary techniques to examine the time-varying level of integration of European government bond markets. We consider daily bond returns and prices over the 1998-2003 period. Strong contemporaneous and dynamic linkages are found between individual European Union (EU) markets and the German market. However, there is no such evidence for the three accession markets of the Czech Republic, Hungary and Poland. The UK’s market is also considered. In general, the degree of integration for the accession markets is weak and stable, with little evidence of further deepening despite the increased political integration.

Keywords: Bond Indices; Cointegration; GARCH Models; Integration; Kalman Filter (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-tra
Date: 2005-01-28
View list of references View citations in EconPapers

Downloads: (external link)
http://www.tcd.ie/iiis/documents/discussion/pdfs/iiisdp25.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:iis:dispap:iiisdp025

Access Statistics for this paper

More papers in The Institute for International Integration Studies Discussion Paper Series from IIIS
Address: 01
Contact information at EDIRC.
Series data maintained by Eva Mateo ().