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dc.contributor.authorAntzoulatos, Angelos A.en_US
dc.date.accessioned2009-01-28T15:57:29Z-
dc.date.available2009-01-28T15:57:29Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/19352-
dc.description.abstractWith the elimination of foreign exchange risk among the E.M.U.-member countries, the yield of, say, French benchmark government bonds (henceforth, the yield) should be equal to that of German bonds, plus some credit and liquidity premia. Since both premia are not likely to change substantially from one day to the other, the yield should move in tandem with the German one and the corresponding spread should remain relatively stable. Yet, the yield exhibits a small but economically and statistically significant undershooting in response to changes in the German one, as a result of which the spread tends to decline when the latter increases, and vice-versa. We propose that the undershooting is the product of lagged adjustment in the European bond portfolios that is driven by liquidity considerations and, in particular, by the possibility of excessive bond-price movements in response to changes in the German yield. The empirical results are consistent with this proposition and additionally suggest that the adjustment can last for as long as four days.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesHWWA Discussion Paper 191en_US
dc.subject.jelE43en_US
dc.subject.jelG11en_US
dc.subject.jelF36en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordBenchmark Government Bondsen_US
dc.subject.keywordE.M.U.en_US
dc.subject.keywordCredit and Liquidity Premiaen_US
dc.subject.keywordBid/Ask Spreaden_US
dc.subject.stwZinsdifferenzen_US
dc.subject.stwRenditeen_US
dc.subject.stwÖffentliche Anleiheen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwPortfolio-Investitionen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwSchätzungen_US
dc.subject.stwEU-Staatenen_US
dc.subject.stwDeutschlanden_US
dc.titleBenchmark yield undershooting in the E.M.U.en_US
dc.typeWorking Paperen_US
dc.identifier.ppn349008345en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:hwwadp:26207-
Appears in Collections:HWWA Discussion Paper, Hamburgisches Welt-Wirtschafts-Archiv

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