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Defining benchmark status: an application using Euro-area bonds

Subject

Economics

Publishing details

Economics Discussion Paper Series

Authors / Editors

Portes R;Dynne P G;Moore J M

Biographies

Richard Portes

Publication Year

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.

Series Number

DP 2002/10

Series

Economics Discussion Paper Series

Available on ECCH

No


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