Integration of European bond markets

Charlotte Christiansen

Journal of Banking & Finance, 2014, vol. 42, issue C, 191-198

Abstract: I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU members and stronger for old than new EU members. For EMU countries, the integration is weaker the lower the credit rating is. During the recent crisis periods, the integration is weaker, particularly for EMU countries.

Keywords: Integration; European government bond markets; European sovereign debt crisis; Financial crises; Factor models (search for similar items in EconPapers)
JEL-codes: C23 C58 F36 G01 G12 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

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Related works:
Working Paper: Integration of European Bond Markets (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:42:y:2014:i:c:p:191-198

DOI: 10.1016/j.jbankfin.2014.01.022

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