Header and navigation menu

Page content

Price Discovery in the European Bond Market

What is a benchmark bond? We provide a formal theoretical treatment of this concept and derive its implications. We describe a rich but little used econometric technique for identifying the benchmark, which is congruent with our theoretical framework. We apply this to the natural experiment that occurred when benchmark status was contested in the European bond market following the introduction of the euro. We show that no one country, such as Germany, provides the benchmark at all maturities.

Documents

Price Discovery in the European Bond Market