Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247603 
Year of Publication: 
2021
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 9 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods of integration and disintegration that coincide with bull and bear market periods in the stock market. An econometric argument about the spectral behavior of long-memory time series leads to the conclusion that there is a stronger differentiation between bonds with different default risks. This implied the possibility of macroeconomic and fiscal divergence between the EMU countries before the crisis periods.
Subjects: 
EMU
fractional cointegration
market integration
yield spreads
JEL: 
C32
C14
C58
E43
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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