Next Article in Journal
Estimating Endogenous Treatment Effects Using Latent Factor Models with and without Instrumental Variables
Previous Article in Journal
Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions
Article

Integration and Disintegration of EMU Government Bond Markets

Faculty of Economics and Management, Leibniz University Hannover, D-30167 Hannover, Germany
*
Author to whom correspondence should be addressed.
Received: 4 September 2020 / Revised: 21 February 2021 / Accepted: 11 March 2021 / Published: 15 March 2021
It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods of integration and disintegration that coincide with bull and bear market periods in the stock market. An econometric argument about the spectral behavior of long-memory time series leads to the conclusion that there is a stronger differentiation between bonds with different default risks. This implied the possibility of macroeconomic and fiscal divergence between the EMU countries before the crisis periods. View Full-Text
Keywords: fractional cointegration; market integration; yield spreads; EMU fractional cointegration; market integration; yield spreads; EMU
Show Figures

Figure 1

MDPI and ACS Style

Leschinski, C.; Voges, M.; Sibbertsen, P. Integration and Disintegration of EMU Government Bond Markets. Econometrics 2021, 9, 13. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9010013

AMA Style

Leschinski C, Voges M, Sibbertsen P. Integration and Disintegration of EMU Government Bond Markets. Econometrics. 2021; 9(1):13. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9010013

Chicago/Turabian Style

Leschinski, Christian, Michelle Voges, and Philipp Sibbertsen. 2021. "Integration and Disintegration of EMU Government Bond Markets" Econometrics 9, no. 1: 13. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9010013

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop