Time-Varying Bond Market Integration in EMU

• 영문명: Time-Varying Bond Market Integration in EMU
• 발행기관: 세종대학교 경제통합연구소
• 저자명: Priyanshi Gupta Sanjay Sehgal Florent Deisting
• 간행물 정보: 『Journal of Economic Integration』제30권 제4호, 708~760쪽, 전체 53쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2015.12.31

영문 초록

We examine the level and progress of bond market integration amongst the eleven Economic and Monetary Union countries with active bond markets, over normal and crisis periods. The study covers data from January 2002 up to March 2014. We employ seven indicators for assessing integration, namely beta convergence, sigma convergence, variance ratio, Asymmetric Dynamic Conditional Correlation, dynamic co-integration, market synchronisation, and common factors approach. The results suggest that there is no heterogeneity in the integration process of large-sized economies and medium-sized economies, thereby restricting portfolio diversification potential. Further, bond market integration in the Economic and Monetary Union deteriorated during the crisis period, especially during the European debt crisis, with the economies of Greece, Ireland, Italy, Portugal, and Spain being the worst affected. We observe that bond markets take a lead in information linkages vis-a-vis stock markets, and hence should get precedence in policy intervention relating to market integration, development, and crisis management.

목차

Ⅰ. Introduction

Ⅱ. Literature Review

Ⅲ. Data and Descriptive Statistics

Ⅳ. Methodological Issues

Ⅴ. Empirical Results

Ⅵ. EMU Bond and Stock Markets

Ⅶ. Conclusion

키워드

Bond Market Linkages EMU Countries Global Financial Crisis European Debt Crisis Time-varying Financial Integration