Integration of European Bond Markets
25 Pages Posted: 10 Jul 2012 Last revised: 2 Jan 2014
Date Written: January 2, 2014
I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU members and stronger for old than new EU members. For EMU countries, the integration is weaker the lower the credit rating is. During the recent crisis periods, the integration is weaker, particularly for EMU countries.
Keywords: Integration, European government bond markets, European sovereign debt crisis, Financial crises, Factor models
JEL Classification: C23, C58, F36, G01, G12, G15
Suggested Citation: Suggested Citation