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.