Integration of European bond markets

被引：40
|
作者：
Christiansen, Charlotte [1 ]
机构：
[1] Aarhus Univ, Sch Business & Social Sci, Dept Econ & Business, CREATES, DK-8210 Aarhus V, Denmark
来源：
JOURNAL OF BANKING & FINANCE | 2014年 / 42卷
关键词：
Integration; European government bond markets; European sovereign debt crisis; Financial crises; Factor models; EXPECTED RETURNS; RISK; SOVEREIGN;
D O I：
10.1016/j.jbankfin.2014.01.022
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU members and stronger for old than new EU members. For EMU countries, the integration is weaker the lower the credit rating is. During the recent crisis periods, the integration is weaker, particularly for EMU countries. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码：191 / 198
页数：8
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