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dc.contributor.authorAntzoulatos, Angelos A.en
dc.date.accessioned2009-01-28T15:57:29Z-
dc.date.available2009-01-28T15:57:29Z-
dc.date.issued2002-
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
dc.language.isoengen
dc.publisher|aHamburg Institute of International Economics (HWWA) |cHamburgen
dc.relation.ispartofseries|aHWWA Discussion Paper |x191en
dc.subject.jelE43en
dc.subject.jelG11en
dc.subject.jelF36en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordBenchmark Government Bondsen
dc.subject.keywordE.M.U.en
dc.subject.keywordCredit and Liquidity Premiaen
dc.subject.keywordBid/Ask Spreaden
dc.subject.stwZinsdifferenzen
dc.subject.stwRenditeen
dc.subject.stwÖffentliche Anleiheen
dc.subject.stwZinsstrukturen
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen
dc.subject.stwVolatilitäten
dc.subject.stwPortfolio-Investitionen
dc.subject.stwPortfolio-Managementen
dc.subject.stwSchätzungen
dc.subject.stwEU-Staatenen
dc.subject.stwDeutschlanden
dc.titleBenchmark yield undershooting in the E.M.U.-
dc.typeWorking Paperen
dc.identifier.ppn356975770en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:hwwadp:26207en

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