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Analysis of institutional authors

Pilar Abad RomeroAuthor
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Article

Emu and European government bond market integration

Publicated to:Papeles De Trabajo Del Instituto De Estudios Fiscales. Serie Economía.. (12): 1-32 - 2010-01-01 (12), DOI:

Authors: Pilar Abad Romero; Helena Chuliá; Marta Gómez-Puig

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Abstract

In this study we adopt the CAPM-based model of Bekaert and Harvey (1995) to compare the differences in the relative importance of two sources of systemic risk (world and Eurozone) on Government bond returns, in two groups of countries in EU-15. Results show that euro markets are less vulnerable to the influence of world risk factors, and more vulnerable to EMU risk factors. However, they are only partially integrated. For their part, the markets of the countries that decided to stay out of the Monetary Union present a higher vulnerability to external risk factors.

Keywords
Economia

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Leadership analysis of institutional authors

There is a significant leadership presence as some of the institution’s authors appear as the first or last signer, detailed as follows: First Author (Abad Gómez, Raquel) .