Arbeitspapier
Sovereign bond market integration: the euro, trading platforms and globalization
We disentangle 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 a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high frequency integration.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper Series 1 ; No. 2008,12
- Classification
-
Wirtschaft
Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
Financial Markets and the Macroeconomy
International Monetary Arrangements and Institutions
International Finance Forecasting and Simulation: Models and Applications
International Financial Markets
- Subject
-
sovereign bond market
bond market integration
EMU
electronic trading
Rentenmarkt
Öffentliche Anleihe
Internationaler Finanzmarkt
Marktintegration
Rendite
Internationaler Preiszusammenhang
EU-Staaten
USA
Großbritannien
Deutschland
- Event
-
Geistige Schöpfung
- (who)
-
Wolff, Guntram B.
Schulz, Alexander
- Event
-
Veröffentlichung
- (who)
-
Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Wolff, Guntram B.
- Schulz, Alexander
- Deutsche Bundesbank
Time of origin
- 2008
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