Convergence and Anchoring of Yield Curves in the Euro Area
Michael Ehrmann,
Marcel Fratzscher,
Refet S Güürkaynak and
Eric T Swanson
Additional contact information
Refet S Güürkaynak: Bilkent University and CEPR
Eric T Swanson: Federal Reserve Bank of San Francisco
Authors registered in the RePEc Author Service: Refet S. Gürkaynak
The Review of Economics and Statistics, 2011, vol. 93, issue 1, 350-364
Abstract:
We study the convergence of European bond markets and the anchoring of inflation expectations in the euro area from 1993 to 2008, using high-frequency bond yield data for France, Germany, Italy, and Spain; some smaller euro-area countries; and a control group comprising the United Kingdom, Denmark, and Sweden. We find that Economic and Monetary Union (EMU) led to substantial convergence in euro-area sovereign bond markets in terms of interest rate levels, unconditional daily fluctuations, and conditional responses to major macroeconomic announcements. Our findings also suggest a substantial increase in the anchoring of long-term inflation expectations since EMU, particularly for Italy and Spain. Finally, we present evidence that the elimination of exchange rate risk and the adoption of a common monetary policy were the primary drivers of bond market convergence in the euro area, as opposed to fiscal policy and the loose exchange rate peg of the 1990s. © 2011 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (82)
Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00055 link to full text (application/pdf)
Access to full text is restricted to subscribers.
Related works:
Working Paper: CONVERGENCE AND ANCHORING OF YIELD CURVES IN THE EURO AREA (2009) 
Working Paper: Convergence and Anchoring of Yield Curves in the Euro Area (2007) 
Working Paper: Convergence and anchoring of yield curves in the euro area (2007) 
Working Paper: Convergence and anchoring of yield curves in the Euro area (2007) 
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: https://EconPapers.repec.org/RePEc:tpr:restat:v:93:y:2011:i:1:p:350-364
Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535
Access Statistics for this article
The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu
More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press (mitp-repec@mit.edu).