Money Factors and EMU Government Bond Markets' Convergence

Dionisis Philippas
Costas Siriopoulos

Document Type

Article

Source of Publication

Studies in Economics and Finance

Publication Date

5-27-2014

Abstract

Purpose - "“ The authors aim to investigate the cointegrating relationship of the government bond yields, driven by the common money factors in European Monetary Union (EMU). Design/methodology/approach - "“ By adopting a dynamic ARDL transformation, the paper provides short-/long-term estimates of bond yields convergence before the burst of the current debt crisis. It also investigates how the degree of convergence between bond yields, driven by money factors, is affected in short/long runs. Findings - "“ The findings indicate that the introduction of the common currency has not a uniform effect on the bond yields, and there is a nominal convergence between EMU bond yields based on money market determinants. Originality/value - "“ The current financial crisis indicates that the EMU bond market convergence was temporary and it can be highly affected by an exogenous shocks and the sentiment of international investors. The findings imply the necessity for a common monetary and fiscal policy in Euro zone countries.

ISSN

1086-7376

Publisher

Emerald

Volume

31

First Page

156

Last Page

167

Disciplines

Business

Indexed in Scopus

no

Open Access

no

Link to Full Text

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