Dunne, Peter; Moore, Michael J; Portes, Richard - C.E.P.R. Discussion Papers - 2002
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 …