We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that …

correlated. We also apply the suggested test procedure to a US dataset used in Stock and Watson (2005) and a euro-area dataset …

This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor … model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro … transmission to individual EMU countries. Our most important findings are the following. EMU countries share five common trends …

Inflation differentials within European Monetary Union (EMU) are increasingly seen as exerting adverse effects on the … price competitiveness of member countries' firms and – given the common monetary policy within EMU – as being detrimental to … euro-area economies, in particular to those with relatively high inflation rates. Using three simple measures of …

increase risk premia measured by relative swap spreads. The effect of deficits is significantly lower under EMU. This effect …

We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU … increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Länder. The … euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield …