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
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