Article ID Journal Published Year Pages File Type
5089022 Journal of Banking & Finance 2014 8 Pages PDF
Abstract
I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU members and stronger for old than new EU members. For EMU countries, the integration is weaker the lower the credit rating is. During the recent crisis periods, the integration is weaker, particularly for EMU countries.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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