2026-04-17T17:35:18Zhttps://recercat.cat/oai/request

oai:recercat.cat:2445/589282025-12-04T22:59:17Zcom_2072_1057col_2072_478911col_2072_478917col_2072_478941

European government bond market integration in turbulent times [WP] Abad, Pilar Chuliá Soler, Helena Risc (Economia) Bons Països de la Unió Europea Risk Bonds European Union countries In this paper we investigate the dynamics of European government bond market integration during the financial crisis and, subsequently, during the European sovereign debt crisis. Based on the approach developed by Bae et al. -2003-, we adopt an intuitive measure of integration: the higher the number of joint extreme price rises or falls -coexceedances-, the higher the degree of integration. We also analyse the underlying determinants of the dynamics of integration using a binomial logistic regression. Our results reveal that the level of integration of European government bond markets with the euro area has changed over time, with notable differences between the financial and the European sovereign debt crises. We find that the Euribor, unexpected monetary policy announcements from the ECB and both regional and international volatility play an important role in determining the level of integration, and that, in general, the relevance of these factors does not change between the financial and the sovereign debt crises. 2014-10-22T12:02:11Z 2014-10-22T12:02:11Z 2014 2014-10-22T12:02:12Z info:eu-repo/semantics/workingPaper 2014-1254 https://hdl.handle.net/2445/58928 eng Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2014/201424.pdf IREA – Working Papers, 2014, IR14/24 UB Riskcenter Working Paper Series, 2014/08 [WP E-RC14/08] [WP E-IR14/24] cc-by-nc-nd, (c) Abad et al., 2014 http://creativecommons.org/licenses/by-nc-nd/3.0/ info:eu-repo/semantics/openAccess 26 p. application/pdf Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))