Defining Benchmark Status: An Application Using Euro-Area Bonds
51 Pages Posted: 11 Jun 2002
Date Written: June 2002
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: Suggested Citation