Time-varying integration of the sovereign bond markets in European post-transition economies (CROSBI ID 223389)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Posedel Simović, Petra ; Tkalec, Marina ; Vizek, Maruška ; Lee, Junsoo
engleski
Time-varying integration of the sovereign bond markets in European post-transition economies
In this paper we examine the time-varying integration between eight European post-transition government bond markets and the Eurozone bond market. The objective is twofold: first is to measure the level of integration in these economies, and the second is to better understand some of the fundamental drivers of integration. Our results suggest that integration varies widely across the region. One of the major drivers of integration is economic development, as more advanced countries generally had higher levels of integration. Moreover, joining the European Union either exerted a positive boost or was neutral with regards to sovereign bond integration. Finally, integration changes over time ; in particular, integration has decreased with the financial crisis, although the decrease levelled off relatively swiftly soon after.
European post-transition countries ; sovereign securities markets ; bond market integration.
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Podaci o izdanju
36
2016.
30-40
objavljeno
0927-5398
10.1016/j.jempfin.2015.12.005 0927-5398