Is the European Capital Market Ready for the Single Currency?
利用Johansen多元协整分析，研究欧洲ECU政府债券市场的整合程度，发现收益率系统受单一共同趋势驱动，但协整向量不满足零和约束，表明市场整合不完全，但ECU收益率曲线可作为欧元计价债务的初始基准。
This paper defines, and investigates the extent of, capital market integration in the European Ecu government bond market sector utilising Johansen’s (1992) multivariate analysis. Evidence suggests the yield system is driven by a unique common trend, although we reject the zero‐sum restriction on the cointegrating vector. The former finding is consistent with our definition of full Ecu capital market integration, the latter is not, although it is explainable by failure of the expectations hypothesis. Our results support market utilisation of the extant Ecu yield curve as the initial benchmark for pricing euro‐denominated debt securities following stage III EMU.