Ehrmann, Michael; Fratzscher, Marcel; Gürkaynak, Refet S. - 2007
We study the convergence of European bond markets and the anchoring of inflation expectations in euro area countries … using high-frequency bond yield data for France, Germany, Italy and Spain. We find that Economic and Monetary Union (EMU … daily fluctuations, and conditional responses to major macroeconomic data announcements. Our findings also suggest a …