Defining Benchmark Status: An Application Using Euro-Area Bonds

51 Pages Posted: 11 Jun 2002

See all articles by Michael Moore

Michael Moore

University of Warwick - Warwick Business School

Peter G. Dunne

Central Bank of Ireland

Richard Portes

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

Multiple version iconThere are 3 versions of this paper

Date Written: June 2002

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.

Keywords: Benchmark, euro government bonds, cointegration

JEL Classification: F36, G12, H63

Suggested Citation

Moore, Michael John and Dunne, Peter G. and Portes, Richard, Defining Benchmark Status: An Application Using Euro-Area Bonds (June 2002). WBS Finance Group Research Paper No. 22, Available at SSRN: https://ssrn.com/abstract=313179 or http://dx.doi.org/10.2139/ssrn.313179

Michael John Moore (Contact Author)

University of Warwick - Warwick Business School ( email )

Coventry CV4 7AL
United Kingdom

Peter G. Dunne

Central Bank of Ireland ( email )

P.O. Box 559
Dame Street
Dublin, 2
Ireland

Richard Portes

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)

London
United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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