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...