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Title: European government bond market integration in turbulent times [WP]
Author: Abad, Pilar
Chuliá Soler, Helena
Keywords: Risc (Economia)
Països de la Unió Europea
European Union countries
Issue Date: 2014
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Series/Report no: [WP E-RC14/08]
[WP E-IR14/24]
Abstract: In this paper we investigate the dynamics of European government bond market integration during the financial crisis and, subsequently, during the European sovereign debt crisis. Based on the approach developed by Bae et al. -2003-, we adopt an intuitive measure of integration: the higher the number of joint extreme price rises or falls -coexceedances-, the higher the degree of integration. We also analyse the underlying determinants of the dynamics of integration using a binomial logistic regression. Our results reveal that the level of integration of European government bond markets with the euro area has changed over time, with notable differences between the financial and the European sovereign debt crises. We find that the Euribor, unexpected monetary policy announcements from the ECB and both regional and international volatility play an important role in determining the level of integration, and that, in general, the relevance of these factors does not change between the financial and the sovereign debt crises.
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2014, IR14/24
UB Riskcenter Working Paper Series, 2014/08
ISSN: 2014-1254
Appears in Collections:UB RISKCENTER – Working Papers Series
Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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