EMU and European government bond market integration

被引：72

作者：

Abad, Pilar ^{[3
,4
]}

Chulia, Helena ^{[1
,2
]}

Gomez-Puig, Marta ^{[5
,6
]}

机构：

[1] Univ Oberta Catalunya, Dept Econ & Business, Barcelona, Spain

[2] RFA IRA, Barcelona, Spain

[3] Univ Rey Juan Carlos, Econ Anal Dept, Madrid, Spain

[4] RFA IREA, Madrid, Spain

[5] Univ Barcelona, Econ Theory Dept, Barcelona, Spain

[6] RFA IREA, Barcelona, Spain

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 12期

关键词：

Monetary integration; Sovereign securities; Bond markets integration; INTERNATIONAL STOCK; MONETARY-UNION; YIELD SPREADS; MOVEMENTS; RETURN; MODEL; COST; RISK;

D O I：

10.1016/j.jbankfin.2009.10.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this study we adopt the CAPM-based model of Bekaert and Harvey (1995) to compare the differences in the relative importance of two sources of systemic risk (world and Eurozone) on Government bond returns, in two groups of countries in EU-15. Results show that euro markets are less vulnerable to the influence of world risk factors, and more vulnerable to EMU risk factors. However, they are only partially integrated. For their part, the markets of the countries that decided to stay out of the Monetary Union present a higher vulnerability to external risk factors. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：2851 / 2860

页数：10

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