Price Discovery in the European Bond Market
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چکیده
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 that 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 France unambiguously provides the benchmark at most maturities while benchmark status is contested between France and Germany at the longest maturity.
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تاریخ انتشار 2005