| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9087 |
| 来源ID | Working Paper 9087 |
| Defining Benchmark Status: An Application using Euro-Area Bonds | |
| Peter G. Dunne; Michael J. Moore; Richard Portes | |
| 发表日期 | 2002-08-01 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | The introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the benchmark' in this market. We develop and apply two definitions of benchmark status that differ from the conventional view that the benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a complex pattern of benchmark status in euro-area government bonds. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w9087 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566696 |
| 推荐引用方式 GB/T 7714 | Peter G. Dunne,Michael J. Moore,Richard Portes. Defining Benchmark Status: An Application using Euro-Area Bonds. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9087.pdf（865KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
