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Title: EMU and European government bond market integration
Author: Abad, Pilar
Chuliá Soler, Helena
Gómez-Puig, Marta
Keywords: Unions monetàries
Borsa de valors
Mercat financer
Monetary unions
Financial market
Issue Date: Dec-2010
Publisher: Elsevier B.V.
Abstract: In this study we adopt the CAPM-based model of Bekaert and Harvey (1995) to compare the differences in the relative importance of two sources of systemic risk (world and Eurozone) on Government bond returns, in two groups of countries in EU-15. Results show that euro markets are less vulnerable to the influence of world risk factors, and more vulnerable to EMU risk factors. However, they are only partially integrated. For their part, the markets of the countries that decided to stay out of the Monetary Union present a higher vulnerability to external risk factors.
Note: Versió postprint del document publicat a:
It is part of: Journal of Banking & Finance, 2010, vol. 34, num. 12, p. 2851-2860
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ISSN: 0378-4266
Appears in Collections:Articles publicats en revistes (Economia)

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