Integration of European Bond Markets

Charlotte Christiansen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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. The integration is weaker for the sovereign debt crisis countries than for other countries. The integration of the EU bond markets is decreasing over time and this appears not to be caused by the recent ?nancial and sovereign debt crisis.

Keywords: Business Integration, European bond markets, Financial crises; Factor models (search for similar items in EconPapers)
JEL-codes: C23 C58 F36 G01 G12 G15 (search for similar items in EconPapers)
Pages: 18
Date: 2012-07-10
New Economics Papers: this item is included in nep-eec and nep-fmk
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https://repec.econ.au.dk/repec/creates/rp/12/rp12_33.pdf (application/pdf)

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Journal Article: Integration of European bond markets (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2012-33

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