Sovereign bond market integration in the euro area: a new empirical conceptualization

Dufrénot, Gilles; Jawadi, Fredj; Ftiti, Zied

Type de document :

Compte-rendu et recension critique d'ouvrage

DOI :

10.1007/s10479-022-04847-5

Titre :

Sovereign bond market integration in the euro area: a new empirical conceptualization

Auteur(s) :

Dufrénot, Gilles [Auteur]
Aix-Marseille Sciences Economiques [AMSE]
Jawadi, Fredj [Auteur]

Recherche Interdisciplinaire en Management et Économie Lab - ULR 7396 [RIME-Lab]
Lille University Management Lab - ULR 4999 [LUMEN]
Ftiti, Zied [Auteur]
EDC Paris Business School [EDC]

Titre de la revue :

Annals of Operations Research

Pagination :

147-161

Éditeur :

Springer Verlag

Date de publication :

2022-11

ISSN :

0254-5330

Mot(s)-clé(s) en anglais :

Financial integration
Euro area
Sovereign bonds
Fundamentals

Discipline(s) HAL :

Sciences de l'Homme et Société/Economies et finances

Résumé en anglais : [en]

This paper proposes a new empirical conceptualization of financial integration of sovereign bond markets in the euro area. We introduce a methodology based on the joint testing of the assumptions of efficient market and ...
Lire la suite >This paper proposes a new empirical conceptualization of financial integration of sovereign bond markets in the euro area. We introduce a methodology based on the joint testing of the assumptions of efficient market and convergence/divergence of the yield spreads. We test these assumptions by proposing parametric and non-parametric techniques. We find that markets have been more fragmented than usually advocated in the literature. We also show that the information contained in the fundamentals are not always fully reflected in the spreads, which suggests that either they have insignificant effects, or that their coefficients in the spread equations appear with the wrong sign.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Projet ANR :

Aix-Marseille School of Economics
INITIATIVE D'EXCELLENCE AIX MARSEILLE UNIVERSITE

Commentaire :

CAT: Operations Research & Management Science

Collections :