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Defining Benchmark Status: An Application using Euro-Area Bonds


Peter G. Dunne


Central Bank of Ireland; Queen's University Management School

Michael Moore


Queen's University Management School

Richard Portes


London Business School - Department of Economics; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)
August 2002

CEPR Discussion Paper No. 3490

Abstract:     
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, H63

working papers series


Date posted: June 2, 2003  

Suggested Citation

Dunne, Peter G., Moore, Michael John and Portes, Richard, Defining Benchmark Status: An Application using Euro-Area Bonds (August 2002). CEPR Discussion Paper No. 3490. Available at SSRN: http://ssrn.com/abstract=331501

Contact Information

Peter G. Dunne
Central Bank of Ireland ( email )
P.O. Box 559
Dame Street
Dublin, 2
Ireland
Queen's University Management School ( email )
Queen's University Management School
Riddel Hall, Stranmillis
Belfast, Northern Ireland BT7
Northern Ireland
Michael John Moore
Queen's University Management School ( email )
25 University Square
Belfast, Northern Ireland BT7 1NN
Northern Ireland
+44 28 90273208 (Phone)
+44 28 90335156 (Fax)
Richard Portes (Contact Author)
London Business School - Department of Economics ( email )
Regent's Park
London, NW1 4SA
United Kingdom
+44 20 7000 8424 (Phone)
+44 20 7000 8401 (Fax)
HOME PAGE: http://faculty.london.edu/rportes/
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Feedback to SSRN (Beta)


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