Defining Benchmark Status: An Application using Euro-Area Bonds

Peter Dunne, Michael Moore and Richard Portes

No 9087, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: F36 G12 (search for similar items in EconPapers)
Date: 2002-08
New Economics Papers: this item is included in nep-eec and nep-fin
Note: AP IFM
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Citations: View citations in EconPapers (28)

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