Price Discovery in the European Bond Market

Abstract

What is a benchmark bond? We provide a formal theoretical treatment of this concept and derive its implications. We describe a rich but little used econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this to the natural experiment that occurred when benchmark status was contested in the European… (More)

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@inproceedings{Dunne2005PriceDI, title={Price Discovery in the European Bond Market}, author={Peter Dunne and Michael B. Moore and Richard Portes and Lasse Ebdrup Pedersen and Jim Davidson and David Goldreich and Stephen Hall and Harald Hau and R. P. Lyons and Kjell Nyborg and Carol Osler}, year={2005} }