Economic dynamics causal linkages in the eurozone
Μάμμος, Κωνσταντίνος Σ.
This study examines empirically the extent of linkages among Euro and non-government bond markets in the pre-crisis and during the crisis period. Multivariate Granger causality approach reveals that integration of euro bond markets is week while complete integration is found between the “periphery” EMU countries and the non-EMU countries in the pre-crisis period. Further, the number and the direction of causality change during the crisis. These findings have considerable implications for investors, in terms of diversification benefits, and for policymakers in terms of the proper conduct of the common monetary policy.