eMu and european government bond market integration

The main objective of this paper is to study whether the introduction of the euro hadan impact on the degree of integration of European Government bond markets. Weadopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from thebeginning of Monetary Union until June 2008, the differences in the relativeimportance of two sources of systemic risk (world and Eurozone risk) on Governmentbond returns, in the two groups of countries (EMU and non-EMU) in EU-15. Ourempirical evidence suggests that the impact of the introduction of the euro on thedegree of integration of European Government bond markets was important. Themarkets of the countries that share a monetary...

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Year of publication:	2009-08-01
Authors:	Alonso Abad, Maria Pilar ; Chuliá, Helena ; Gómez-Puig, Marta
Institutions:	European Central Bank
Published in:	Working papers published in 2009 ECB Working Paper Series No 1079, August 2009
Subject:	Festverzinsliches Wertpapier \| Wirtschaftliche Integration \| Währungsunion

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Abstract
Non-technical summary
1 Introduction
2 Related literature
3 Model
4 Instrumental variables and data
5 Results
6 Conclusions
References
Tables
European Central Bank Working Paper Series