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Measuring financial integration in new EU Member States

Listed author(s):
  • De Santis, Roberto A.
  • Cappiello, Lorenzo
  • Baltzer, Markus
  • Manganelli, Simone

The study considers three broad categories of financial integration measures: (i) price-based, which capture discrepancies in asset prices across different national markets; (ii) news-based, which analyse the impact that common factors have on the return process of an asset; (iii) quantity-based, which aim at quantifying the effects of frictions on the demand for and supply of securities. This paper finds that financial markets in the new EU Member States (plus Cyprus, Malta and Slovenia) are significantly less integrated than those of the euro area. Nevertheless, there is strong evidence that the process of integration is well under way and has accelerated since accession to the EU. JEL Classification: C32, F30, G12

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File URL: https://www.ecb.europa.eu/pub/pdf/scpops/ecbocp81.pdf
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Paper provided by European Central Bank in its series Occasional Paper Series with number 81.

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Date of creation: Mar 2008
Handle: RePEc:ecb:ecbops:200881
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  1. Uwe Böwer & André Geis & Adalbert Winkler, 2007. "Commodity price fluctuations and their impact on monetary and fiscal policies in Western and Central Africa," Occasional Paper Series 60, European Central Bank.
  2. Roland Beck & Annette Kamps & Elitza Mileva, 2007. "Long-term growth prospects for the Russian economy," Occasional Paper Series 58, European Central Bank.
  3. Mileva, Elitza & Siegfried, Nikolaus, 2012. "Oil market structure, network effects and the choice of currency for oil invoicing," Energy Policy, Elsevier, vol. 44(C), pages 385-394.
  4. Moutot, Philippe & Jung, Alexander & Mongelli, Francesco Paolo, 2008. "The working of the eurosystem: monetary policy preparations and decision-making - selected issues," Occasional Paper Series 79, European Central Bank.
  5. Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2007. "The ECB survey of professional forecasters (SPF) – A review after eight years’ experience," Occasional Paper Series 59, European Central Bank.
  6. François Coppens & Fernando Gonzáles & Gerhard Winkler, 2007. "The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations," Working Paper Research 118, National Bank of Belgium.
  7. Nicola Giammarioli & Christiane Nickel & Philipp Rother & Jean-Pierre Vidal, 2007. "Assessing fiscal soundness - Theory and practice," Occasional Paper Series 56, European Central Bank.
  8. Martin Skala & Christian Thimann & Regine Wölfinger, 2007. "The search for Columbus’ egg - finding a new formula to determine quotas at the IMF," Occasional Paper Series 70, European Central Bank.
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