Sovereign bond market integration: the euro, trading platforms and financial crises

Alexander Schulz and Guntram Wolff

MPRA Paper from University Library of Munich, Germany

Abstract: 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 states (Länder) since 1992. At a low frequency 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 Länder. The current financial turmoil has abated low frequency euroarea sovereign bond bond market integration, while it has had little effect on the integration with the US and UK. Bond market integration at a high frequency band remains 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 financial crisis does not effect high frequency integration, as no technology shock occurs.

Keywords: sovereign bond market; bond market integration; EMU; electronic trading (search for similar items in EconPapers)
JEL-codes: E42 E44 F33 G15 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-eec, nep-mac, nep-mic, nep-mon and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:16900

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