EMU and European government bond market integration
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.
Year of publication: |
2010
|
---|---|
Authors: | Abad, Pilar ; Chuliá, Helena ; Gómez-Puig, Marta |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 34.2010, 12, p. 2851-2860
|
Publisher: |
Elsevier |
Keywords: | Monetary integration Sovereign securities Bond markets integration |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
EMU and European government bond market integration
Abad, Pilar, (2009)
-
EMU and European government bond market integration
Abad, Pilar, (2009)
-
Time-varying integration in European government bond markets
Abad, Pilar, (2011)
- More ...