CONVERGENCE AND ANCHORING OF YIELD CURVES IN THE EURO AREA

• 成果类型: Article
• 署名作者: Ehrmann, Michael; Fratzscher, Marcel; Guerkaynak, Refet S.; Swanson, Eric T.
• 署名单位: European Central Bank; Ihsan Dogramaci Bilkent University; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00055
• 发表日期: 2011-02
• 页码: 350-364
• 关键词: interest-rates; liquidity; bond

摘要

We study the convergence of European bond markets and the anchoring of inflation expectations in the euro area from 1993 to 2008, using high-frequency bond yield data for France, Germany, Italy, and Spain; some smaller euro-area countries; and a control group comprising the United Kingdom, Denmark, and Sweden. We find that Economic and Monetary Union (EMU) led to substantial convergence in euro-area sovereign bond markets in terms of interest rate levels, unconditional daily fluctuations, and conditional responses to major macroeconomic announcements. Our findings also suggest a substantial increase in the anchoring of long-term inflation expectations since EMU, particularly for Italy and Spain. Finally, we present evidence that the elimination of exchange rate risk and the adoption of a common monetary policy were the primary drivers of bond market convergence in the euro area, as opposed to fiscal policy and the loose exchange rate peg of the 1990s.