Money factors and EMU government bond markets' convergence

Dionisis Philippas (Unit of Econometrics and Applied Statistics, European Commission, Ispra, Italy)
Costas Siriopoulos (Department of Business Administration, University of Patras, Rio, Greece)

Studies in Economics and Finance

ISSN: 1086-7376

Publication date: 27 May 2014



The authors aim to investigate the cointegrating relationship of the government bond yields, driven by the common money factors in European Monetary Union (EMU).


By adopting a dynamic ARDL transformation, the paper provides short-/long-term estimates of bond yields convergence before the burst of the current debt crisis. It also investigates how the degree of convergence between bond yields, driven by money factors, is affected in short/long runs.


The findings indicate that the introduction of the common currency has not a uniform effect on the bond yields, and there is a nominal convergence between EMU bond yields based on money market determinants.


The current financial crisis indicates that the EMU bond market convergence was temporary and it can be highly affected by an exogenous shocks and the sentiment of international investors. The findings imply the necessity for a common monetary and fiscal policy in Euro zone countries.



JEL classification – C22, E58, F34, G12, H63


Philippas, D. and Siriopoulos, C. (2014), "Money factors and EMU government bond markets' convergence", Studies in Economics and Finance, Vol. 31 No. 2, pp. 156-167.



Emerald Group Publishing Limited

Copyright © 2014, Emerald Group Publishing Limited

To read the full version of this content please select one of the options below

You may be able to access this content by logging in via Shibboleth, Open Athens or with your Emerald account.
To rent this content from Deepdyve, please click the button.
If you think you should have access to this content, click the button to contact our support team.