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Title: The impact of euro and euribor introduction on EMU government bond yields
Authors: Philippas, Dionisis Th. 
Siriopoulos, Costas 
Keywords: Ευρώ;Euro;Κρατικά χρεόγραφα;Government securities;Δείκτης τιμών καταναλωτή;Consumer price indexes
Issue Date: 2011
Abstract: We herein investigate the impact of financial innovation (i.e. the introduction of the Euro) on the yield of government bonds,in Economic Monetary Union (EMU). We derive a novel measure of the introduction of the Euro as a minimum boundary Pareto distribution or as the compound process of a Poisson G-Pareto distribution. Motivated by this approach, we undertake an extensive empirical analysis and examine the relative simultaneous effects of the influence of the euro (€/$ exchange rate) and Euribor (3-month) introduction in EMU governments' bond yields. Overall, the results point out the quite significant role of Euro currency and Euribor introduction to the EMU government bond yields curves, according to our approach. The final part includes comments and analysis of the findings.
ISBN: 978-960-86583-7-0
Appears in Collections:Δημοσιεύσεις σε Συνέδρια

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