Defining Benchmark Status: An Application using Euro-Area Bonds
Peter G. Dunne
Central Bank of Ireland; Queen's University Management School
Queen's University Management School
London Business School - Department of Economics; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)
CEPR Discussion Paper No. 3490
The introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the 'benchmark' in this market. We develop and apply two definitions of benchmark status that differ from the conventional view that the benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a complex pattern of benchmark status in euro-area government bonds.
Number of Pages in PDF File: 53
Keywords: Benchmark, euro government bonds, cointegration
JEL Classification: F36, G12, H63working papers series
Date posted: June 2, 2003
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