Sovereign bond market integration: the euro, trading platforms and globalisation

Guntram Wolff and Alexander Schulz

No 332, European Economy - Economic Papers 2008 - 2015 from Directorate General Economic and Financial Affairs (DG ECFIN), European Commission

Abstract: Study on sovereign bond market integration and the role of the euro, trading platforms and globalisation. We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Lander in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Lander. The euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high frequency integration.

Keywords: sovereign bond market; bond market integration; EMU; electronic trading; euro; globalisation; Wolff; Schulz (search for similar items in EconPapers)
JEL-codes: E42 E44 F33 F37 G15 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2008-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:euf:ecopap:0332

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