German bonds serve as the benchmark reference for calculating Eurozone bond spreads
the verdict
CONTESTED
contested - the weight sits with the supporting side
refutedsupported
the weight of evidence
1 source for · 0 against
A peer-reviewed study analyses the integration of Bulgarian and Croatian bond markets into the Eurozone, but does not provide sufficient evidence to support that German bonds serve as the benchmark reference for Eurozone bond spreads.
DESIGN/METHODOLOGY/APPROACH: An econometric model based on the model of beta coefficient evolution is used to analyse the degree of integration of the Bulgarian and Croatian sovereign bond markets into the eurozone government bond market. The model is estimated by means of GARCH. Two separate research periods are adopted: 2003-2021 for Bulgaria and 2006-2021 for Croatia. Monthly data on the yields till buy-out of 10-year Bulgarian and Croatian sovereign bonds are used. The yields till buy-out of 10-year German government bonds serve as the benchmark.