Convergence and anchoring of yield curves in the euro area
dc.citation.epage | 364 | en_US |
dc.citation.issueNumber | 1 | en_US |
dc.citation.spage | 350 | en_US |
dc.citation.volumeNumber | 93 | en_US |
dc.contributor.author | Ehrmann, M. | en_US |
dc.contributor.author | Fratzscher, M. | en_US |
dc.contributor.author | Gürkaynak, R. S. | en_US |
dc.contributor.author | Swanson, E. T. | en_US |
dc.date.accessioned | 2015-07-28T11:59:08Z | |
dc.date.available | 2015-07-28T11:59:08Z | |
dc.date.issued | 2011 | en_US |
dc.department | Department of Economics | en_US |
dc.description.abstract | We study the convergence of European bond markets and the anchoring of inflation expectations in the euro area from 1993 to 2008, using high-frequency bond yield data for France, Germany, Italy, and Spain; some smaller euro-area countries; and a control group comprising the United Kingdom, Denmark, and Sweden. We find that Economic and Monetary Union (EMU) led to substantial convergence in euro-area sovereign bond markets in terms of interest rate levels, unconditional daily fluctuations, and conditional responses to major macroeconomic announcements. Our findings also suggest a substantial increase in the anchoring of long-term inflation expectations since EMU, particularly for Italy and Spain. Finally, we present evidence that the elimination of exchange rate risk and the adoption of a common monetary policy were the primary drivers of bond market convergence in the euro area, as opposed to fiscal policy and the loose exchange rate peg of the 1990s. | en_US |
dc.description.provenance | Made available in DSpace on 2015-07-28T11:59:08Z (GMT). No. of bitstreams: 1 10.1162-REST_a_00055.pdf: 1065026 bytes, checksum: 0c6a3cc70c6090389e174db67d6498c1 (MD5) | en |
dc.identifier.doi | 10.1162/REST_a_00055 | en_US |
dc.identifier.eissn | 1530-9142 | |
dc.identifier.issn | 0034-6535 | |
dc.identifier.uri | http://hdl.handle.net/11693/11868 | |
dc.language.iso | English | en_US |
dc.publisher | M I T Press | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1162/REST_a_00055 | en_US |
dc.source.title | Review of Economics and Statistics | en_US |
dc.subject | Monetary-policy | en_US |
dc.subject | Interest-rates | en_US |
dc.subject | Liquidity | en_US |
dc.subject | Bond | en_US |
dc.subject | Spreads | en_US |
dc.subject | Market | en_US |
dc.title | Convergence and anchoring of yield curves in the euro area | en_US |
dc.type | Article | en_US |
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