Defining Benchmark Status: An Application Using Euro-Area Bonds

51 Pages Posted: 2 Aug 2002 Last revised: 17 Sep 2002

See all articles by Peter G. Dunne

Peter G. Dunne

Central Bank of Ireland

Michael Moore

University of Warwick - Warwick Business School

Richard Portes

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

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Date Written: August 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.

Suggested Citation

Dunne, Peter G. and Moore, Michael John and Portes, Richard, Defining Benchmark Status: An Application Using Euro-Area Bonds (August 2002). NBER Working Paper No. w9087, Available at SSRN: https://ssrn.com/abstract=321353

Peter G. Dunne

Central Bank of Ireland ( email )

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

Michael John Moore

University of Warwick - Warwick Business School ( email )

Coventry CV4 7AL
United Kingdom

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)

London
United Kingdom

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

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