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Defining Benchmark Status: An Application using Euro-Area Bonds / Peter G. Dunne, Michael J. Moore, Richard Portes.
- Format:
- Book
- Author/Creator:
- Dunne, Peter G.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w9087.
- NBER working paper series no. w9087
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Defining Benchmark Status
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2002.
- Summary:
- 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.
- Notes:
- Print version record
- August 2002.
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