European Financial Market Integration: A Closer Look at Government Bonds in Eurozone Countries
AbstractThe European Union made a number of steps not least of them the introduction of a common currency to foster the integration of the European financial markets. A number of papers have tried to gauge the degree of integration for various financial markets looking at the convergence of interest rates. A common finding is that government bond markets are quite well integrated. In this paper stochastic Kernel density estimates are used to take a closer look at the dynamics that drive the process of interest rate convergence. The main finding is that countries with large initial deviations from the mean interest rate do indeed converge. Interestingly the candidates least suspected namely the countries initially with interest rates at the mean level show a pattern of slight divergence.
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Bibliographic InfoPaper provided by DIW Berlin, German Institute for Economic Research in its series Working Paper / FINESS with number 1.1b.
Length: 21 p.
Date of creation: 2009
Date of revision:
Financial markets integration; euro area government bonds; stochastic Kernel density estimates;
Other versions of this item:
- Sebastian Weber, 2009. "European Financial Market Integration: A Closer Look at Government Bonds in Eurozone Countries," Discussion Papers of DIW Berlin 864, DIW Berlin, German Institute for Economic Research.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-11 (All new papers)
- NEP-CBA-2009-09-11 (Central Banking)
- NEP-EEC-2009-09-11 (European Economics)
- NEP-FMK-2009-09-11 (Financial Markets)
- NEP-MON-2009-09-11 (Monetary Economics)
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