Defining Benchmark Status: An Application Using Euro-Area Bonds
53 Pages Posted: 2 Jun 2003
There are 3 versions of this paper
Defining Benchmark Status: An Application Using Euro-Area Bonds
Defining Benchmark Status: An Application Using Euro-Area Bonds
Date Written: August 2002
Abstract
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.
Keywords: Benchmark, euro government bonds, cointegration
JEL Classification: F36, G12, H63
Suggested Citation: Suggested Citation
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