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Price Indicators as a Measure of Credit Market Integration in the Visegrad Countries

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  • Vodova, Pavla

    ()
    (Silesian University in Opava, School of Business Administration in Karviná, Department of Finance, Univerzitní nám. 1934, 733 40 Karviná, Czech Republic)

Abstract

In this paper we assess with price indicators the extent to which credit markets in the Visegrad countries are integrated with the Eurozone countries and we test the hypothesis that the markets of loans provided to nonfinancial companies are more integrated than the markets of loans provided to households in the Visegrad countries. Analysis is based on monthly values of four interest rates for the period January 2005-March 2010. Convergence is taking place in all the analyzed segments of credit market. However, the speed of convergence and the degree of convergence differs among market segments and countries. The tested hypothesis has not been fully confirmed: the markets of loans to nonfinancial companies are more integrated than the consumer loan markets, but less integrated than the mortgage loan markets.

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Bibliographic Info

Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

Volume (Year): (2012)
Issue (Month): 1 (March)
Pages: 62-73

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Handle: RePEc:rjr:romjef:v::y:2012:i:1:p:62-73

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Related research

Keywords: credit market integration; price indicators; beta convergence; sigma convergence; Visegrad countries;

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  1. Babecký, Jan & Komárek, Luboš & Komárková, Zlatuše, 2008. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," The Warwick Economics Research Paper Series (TWERPS) 849, University of Warwick, Department of Economics.
  2. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
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