Defining Benchmark Status: An Application Using Euro-Area Bonds
作者： Peter Dunne , Michael Moore , Richard Portes
DOI: 10.3386/W9087
关键词:
摘要: The introduction of the euro on 1 January 1999 created conditions for an integrated government bond market in area. Using a unique data set from electronic trading platform Euro-MTS, we consider what is "benchmark" this market. We develop and apply two definitions benchmark status that differ conventional view security with lowest yield at given maturity. Granger-causality cointegration methods, find complex pattern euro-area bonds.
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