EMU and European Government Bond Market Integration

By P. A. Romero, Helena Chuliá, Marta Gómez-Puig. Social Science Research Network, 2010

169 citations recorded by the source corpus.

In this study we adopt the CAPM-based model of Bekaert and Harvey (1995) to compare the differences in the relative importance of two sources of systemic risk (world and Eurozone) on Government bond returns, in two groups of countries in EU-15. Results show that euro markets are less vulnerable to the influence of world risk factors, and more vulnerable to EMU risk factors. However, they are only partially integrated. For their part, the markets of the countries that decided to stay out of the Monetary Union present a higher vulnerability to external risk factors.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/84d31b3901ff726bfaf19903b93a756c1a1d54cf

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Citations in the corpus

Global Financial Crisis, Extreme Interdependences, and Contagion Effects: The Role of Economic Structure? (2011, background): “Consequently, the asymmetric correlation between nancial markets in bear and bull periods as documented, for example, by Longin and Solnik (2001), Ang and Bekaert (2002), and Patton (2004) cannot be explained 2 .”
Dependence structure and extreme comovements in international equity and bond markets (2011, unknown): “…e b 6 Some related research focus on the dependence structure of bond and equity in European markets (see Kim et al., 2006; Cappiello et al., 2006; Abad et al., 2010) Panchenko and Wu (2009) investigate stock and bond return time-varying comov- cannot help to determine if a given…”