Sovereign bond market integration: the euro, trading platforms and globalization

We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has 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 adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high frequency integration. --sovereign bond market,bond market integration,EMU,electronic trading

Sovereign bond market integration: the euro, trading platforms and globalisation

Study on sovereign bond market integration and the role of the euro, trading platforms and globalisation. We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Lander in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Lander. The euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high frequency integration.sovereign bond market, bond market integration, EMU, electronic trading, euro, globalisation, Wolff, Schulz

The German sub-national government bond market: evolution, yields and liquidity

The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals that L¨ander follow different issuing strategies: while some concentrate to a greater extend on large issues or issue joint bonds with other L¨ander (Jumbos), others rely more on comparatively small but frequent issues. Moreover, some L¨ander issue a significant volume-share of their bonds in foreign currencies. Suitable bonds are used to compute yields for the respective L¨ander at a daily frequency. In addition, we construct a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average yield. --sovereign bond market,yields,liquidity,fiscal federalism,Germany

Weak disorder expansion for localization lengths of quasi-1D systems

A perturbative formula for the lowest Lyapunov exponent of an Anderson model on a strip is presented. It is expressed in terms of an energy-dependent doubly stochastic matrix, the size of which is proportional to the strip width. This matrix and the resulting perturbative expression for the Lyapunov exponent are evaluated numerically. Dependence on energy, strip width and disorder strength are thoroughly compared with the results obtained by the standard transfer matrix method. Good agreement is found for all energies in the band of the free operator and this even for quite large values of the disorder strength

A new method for suppressing excited-state contaminations on the nucleon form factors

One of the most challenging tasks in lattice calculations of baryon form factors is the analysis and control of excited-state contaminations. Taking the isovector axial form factors of the nucleon as an example, both a dispersive representation and a calculation in chiral effective field theory show that the excited-state contributions become dominant at fixed source-sink separation when the axial current is spatially distant from the nucleon source location. We address this effect with a new method in which the axial current is localized by a Gaussian wave-packet and apply it on a CLS ensemble with $N_f=2+1$ flavors of O($a$) improved Wilson fermions with a pion mass of $m_\pi=200\,$MeV.Comment: 7 pages, 6 figures, 1 table, Proceedings for the 36th Annual International Symposium on Lattice Field Theory, 22-28 July 2018, Michigan State University, East Lansing, Michigan, US