La diversificación del riesgo en los mercados de deuda pública de la zona euro

The aim of this study is to analyze the impact that the monetary union has had on risk diversification opportunities in European public debt markets. We examine the common trends in the evolution of daily 10-year yields in EU-15 countries during 1994-2008. Despite finding evidence in favor of multiple cointegration, the results support the existence of more than one trend between long-term EU-15 sovereign yields. Furthermore, when we focus our analysis on the euro zone, although interdependency increases, we can still reject the existence of a single common trend. These results have important implications for investors in terms of their risk diversification possibilities in a single currency context.