Convergence and anchoring of yield curves in the euro area

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dc.citation.epage364en_US
dc.citation.issueNumber1en_US
dc.citation.spage350en_US
dc.citation.volumeNumber93en_US
dc.contributor.authorEhrmann, M.en_US
dc.contributor.authorFratzscher, M.en_US
dc.contributor.authorGürkaynak, R. S.en_US
dc.contributor.authorSwanson, E. T.en_US
dc.date.accessioned2015-07-28T11:59:08Z
dc.date.available2015-07-28T11:59:08Z
dc.date.issued2011en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractWe 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.identifier.doi10.1162/REST_a_00055en_US
dc.identifier.eissn1530-9142
dc.identifier.issn0034-6535
dc.identifier.urihttp://hdl.handle.net/11693/11868
dc.language.isoEnglishen_US
dc.publisherM I T Pressen_US
dc.relation.isversionofhttp://dx.doi.org/10.1162/REST_a_00055en_US
dc.source.titleReview of Economics and Statisticsen_US
dc.subjectMonetary-policyen_US
dc.subjectInterest-ratesen_US
dc.subjectLiquidityen_US
dc.subjectBonden_US
dc.subjectSpreadsen_US
dc.subjectMarketen_US
dc.titleConvergence and anchoring of yield curves in the euro areaen_US
dc.typeArticleen_US

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