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The integration of European public debt markets

8th National Competition for Economic Research Grants

International economics

Senior Researcher : Pilar Abad Romero

Research Centre or Institution : Universidad Rey Juan Carlos. Madrid.

Abstract

The objective of the project was to analyse the impact of the introduction of the euro on the degree of integration of European public debt markets, by means of the comparative analysis of the degree of integration of European bond markets. The results of the first article suggest the existence of incomplete integration. The national risk factors, more than the international risk factors, are the main drivers of the evolution of public debt yields. The public debt yields of countries that did not join the monetary union are influenced more by worldwide risk factors. On the other hand, the debt yields of the countries sharing the euro are more influenced by the risk factors of the Eurozone.

The study about the dynamics of bond market integration in the second article suggests (1) that the level of integration is variable over time, falling in all countries with the start of the tensions in the financial market in August, 2007, and (2) that the impact of the financial and economic crisis was much more detrimental to the sovereign bond markets of the European Monetary Union member countries (especially peripheral ones), as a considerable step backwards has been observed in their integration process.

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