It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods of integration and disintegration that coincide with bull and bear market periods in the stock market. An econometric argument about the spectral behavior of long-memory time series leads to the conclusion that there is a stronger differentiation between bonds with different default risks. This implied the possibility of macroeconomic and fiscal divergence between the EMU countries before the crisis periods.

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动车组政府债券市场的整合与解体

通常发现，经济和货币联盟（EMU）国家的长期政府债券市场是在EMU债务危机之前整合的。与此相反，我们基于市场整合和分数协整之间的相互关系，表明股票市场中存在着与牛市和熊市时期一致的整合和解体时期。关于长内存时间序列的频谱行为的计量经济学论证得出这样的结论，即具有不同违约风险的债券之间存在更强的区别。这暗示在危机时期之前，动车组国家之间存在宏观经济和财政分歧的可能性。