TY  - JOUR
AU  - Dunne,Peter G.
AU  - Moore,Michael J.
AU  - Portes,Richard
TI  - Defining Benchmark Status: An Application using Euro-Area Bonds
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9087
PY  - 2002
Y2  - August 2002
UR  - http://www.nber.org/papers/w9087
L1  - http://www.nber.org/papers/w9087.pdf
N1  - Author contact info:
Michael Moore
Queens University, Belfast
E-Mail: m.moore@qub.ac.uk

Richard Portes
London Business School
Regent's Park
London NW1 4SA
UNITED KINGDOM
Tel: 44 (0)  20 7000 8424
Fax:  44 (0) 20 7000 8401
E-Mail: rportes@london.edu
AB  - The introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the  benchmark' in this market. We develop and apply two definitions of benchmark status that differ from the conventional view that the benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a complex pattern of benchmark status in euro-area government bonds.
ER  -