DP3490 Defining Benchmark Status: An Application using Euro-Area Bonds

Author(s): Peter Dunne, Michael J Moore, Richard Portes
Publication Date: August 2002
Keyword(s): benchmark, cointegration, euro government bonds
JEL(s): F36, G12, H63
Programme Areas: International Macroeconomics, Financial Economics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=3490

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.