EMU and European government bond market integration Export

@article{citeulike:6051735, abstract = {In this study we adopt the CAPM-based model of Bekaert and Harvey (1995) to compare the differences in the relative importance of two sources of systemic risk (world and Eurozone) on Government bond returns, in two groups of countries in EU-15. Results show that euro markets are less vulnerable to the influence of world risk factors, and more vulnerable to EMU risk factors. However, they are only partially integrated. For their part, the markets of the countries that decided to stay out of the Monetary Union present a higher vulnerability to external risk factors.}, author = {Abad, Pilar and Chuli\'{a}, Helena and G\'{o}mez-Puig, Marta}, citeulike-article-id = {6051735}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jbankfin.2009.10.009}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/S0378426609002854}, day = {27}, doi = {10.1016/j.jbankfin.2009.10.009}, issn = {03784266}, journal = {Journal of Banking \& Finance}, month = {October}, posted-at = {2009-10-31 21:31:53}, title = {EMU and European government bond market integration}, url = {http://dx.doi.org/10.1016/j.jbankfin.2009.10.009}, year = {2009} }

TY - JOUR ID - citeulike:6051735 L3 - citeulike-article-id:6051735 N2 - In this study we adopt the CAPM-based model of Bekaert and Harvey (1995) to compare the differences in the relative importance of two sources of systemic risk (world and Eurozone) on Government bond returns, in two groups of countries in EU-15. Results show that euro markets are less vulnerable to the influence of world risk factors, and more vulnerable to EMU risk factors. However, they are only partially integrated. For their part, the markets of the countries that decided to stay out of the Monetary Union present a higher vulnerability to external risk factors. JF - Journal of Banking & Finance SN - 03784266 TI - EMU and European government bond market integration AU - Abad, Pilar AU - Chuliá, Helena AU - Gómez-Puig, Marta PY - 2009/10/27/ UR - http://dx.doi.org/10.1016/j.jbankfin.2009.10.009 ER -