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
Journal:
Cuadernos de economía: Spanish Journal of Economics and Finance

ISSN: 2340-6704,  0210-0266

Year of publication: 2011

Volume: 34

Issue: 94

Pages: 1-8

Type: Article

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

More publications in: Cuadernos de economía: Spanish Journal of Economics and Finance

Sustainable development goals

Abstract

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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