Defining Benchmark Status: An Application using Euro-Area Bonds

Michael Moore, Peter Dunne and Richard Portes

No 3490, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: The introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the ?benchmark? in this market. We develop and apply two definitions of benchmark status that differ from the conventional view that the benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a complex pattern of benchmark status in euro-area government bonds.

Keywords: Benchmark; Euro government bonds; Cointegration (search for similar items in EconPapers)
JEL-codes: F36 G12 H63 (search for similar items in EconPapers)
Date: 2002-08
New Economics Papers: this item is included in nep-cfn and nep-rmg
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Citations: View citations in EconPapers (23)

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