Time-varying integration in european government bond markets

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Title:	Time-varying integration in european government bond markets
Author:	Chuliá Soler, Helena; Gómez-Puig, Marta; Abad, Pilar
Other authors:	Universitat de Barcelona
Abstract:	Bond market integration clearly changes in response to economic and financial conditions, since the level of risk aversion changes and investors require time-varying compensation for accepting a risky payoff from financial assets. In this paper we examine the dynamic behaviour of European Government bond market integration using an asset pricing model based on that of Bekaert and Harvey.
Subject(s):	-Països de la Unió Europea -Bancs d'inversió -Capitalistes -Risc (Economia) -Bons -Gestió d'actius i passius -Actius financers derivats -European Union countries -Investment banking -Capitalists -Risk -Bonds -Asset-liability management -Derivative securities
Rights:	(c) John Wiley & Sons, 2014
Document type:	Article Article - Accepted version
Published by:	John Wiley & Sons
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