Measuring European Financial Integration

In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate-bond, government-bond, credit, and equity markets. Building upon the law of one price, we have developed tw...

Full description

Saved in:
Bibliographic Details
Published in:Oxford review of economic policy 2004-12, Vol.20 (4), p.509-530
Main Authors: Baele, Lieven, Ferrando, Annalisa, Hördahl, Peter, Krylova, Elizaveta, Monnet, Cyril
Format: Article
Language:English
Subjects:
Bond markets
Capital markets
Consumer loans
Discount rates
Economic policy
Equity
Euro Zone
European Currency Unit
Eurozone
Financial instruments
Government bonds
Integration
Interest rates
Loans
Market segments
Measurement techniques
Money markets
Mortgage loans
Political integration
Prices
Rates of return
Securities markets
Short term loans
Statistical variance
Studies
Citations: Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate-bond, government-bond, credit, and equity markets. Building upon the law of one price, we have developed two types of indicators that can be broadly categorized as price-based and news-based measures. We have complemented these measures by a number of quantity-based indicators, mainly related to the evolution of the home bias. Results indicate that the unsecured money market is fully integrated, while integration is reasonably high in the government- and corporate-bond markets, as well as in the equity markets. The credit market is among the least integrated, especially in the short-term segment.
ISSN:0266-903X
1460-2121
1460-2121
DOI:10.1093/oxrep/grh030