Author (Corporate) | European Commission: DG Economic and Financial Affairs |
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Series Title | European Economy: Economic Papers |
Series Details | No.332, June 2008 |
Publication Date | June 2008 |
ISBN | 978-92-79-08257-3 |
ISSN | 1725-3187 |
EC | KC-AI-08-332-EN-C |
Content Type | Journal | Series | Blog, Report |
The paper disentangles different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, 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 euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when |
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Source Link | Link to Main Source http://ec.europa.eu/economy_finance/publications/publication12780_en.pdf |
Countries / Regions | Europe |