La diversificación del riesgo en los mercados de deuda pública de la zona euro = Risk diversification in public debt markets in the eurozone

  1. Cuñado Eizaguirre, Juncal
  2. Gómez-Puig, Marta
Revista:
Cuadernos de economía: Spanish Journal of Economics and Finance

ISSN: 2340-6704,  0210-0266

Any de publicació: 2011

Volum: 34

Número: 94

Pàgines: 1-8

Tipus: Article

DOI: 10.1016/S0210-0266(11)70001-2 DIALNET GOOGLE SCHOLAR lock_openBiblos-e Archivo editor

Altres publicacions en: Cuadernos de economía: Spanish Journal of Economics and Finance

Objectius de Desenvolupament Sostenible

Resum

The aim of this study is to analyze the impact that the monetary union has had on risk diversification opportunities in European public debt markets. We examine the common trends in the evolution of daily 10-year yields in EU-15 countries during 1994-2008. Despite finding evidence in favor of multiple cointegration, the results support the existence of more than one trend between long-term EU-15 sovereign yields. Furthermore, when we focus our analysis on the eurozone, although interdependency increases, we can still reject the existence of a single common trend. These results have important implications for investors in terms of their risk diversification possibilities in a single currency context.

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