Time-varying integration in european government bond markets
Bond market integration clearly changes in response to economic and financial conditions, since the level of risk aversion changes and investors require time-varying compensation for accepting a risky payoff from financial assets. In this paper we examine the dynamic behaviour of European Government...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2014 |
| País: | España |
| Institución: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositorio: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/54183 |
| Acceso en línea: | https://hdl.handle.net/2445/54183 |
| Access Level: | acceso abierto |
| Palabra clave: | Països de la Unió Europea Bancs d'inversió Capitalistes Risc (Economia) Bons Gestió d'actius i passius Actius financers derivats European Union countries Investment banking Capitalists Risk Bonds Asset-liability management Derivative securities |
| Sumario: | Bond market integration clearly changes in response to economic and financial conditions, since the level of risk aversion changes and investors require time-varying compensation for accepting a risky payoff from financial assets. In this paper we examine the dynamic behaviour of European Government bond market integration using an asset pricing model based on that of Bekaert and Harvey. |
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