Financial Integration in European Countries: Some Panel Evidence
This paper provides empirical evidence of the financial integration of some developed countries, mostly in the European Union, covering the period between 1961 and 2008. The main contributions are to be found first, in the application of panel estimates and test statistics. particularly of some recently developed tests like the Westerlund (2007) bootstrap cointegration tests and the Pesaran (2004) test of cross-sectional independence, using the available AMECO series of nominal and real long-term and short-term interest rates as well as the yield curve; secondly, in the comparison of the approximations between the countries’ series of rates and those of two chosen benchmarks: the German and US rates, for six panels of EU and some non-EU countries during three specific time intervals. The obtained results allow us to draw conclusions not only on the quite high degree of approximation towards the benchmark rates, particularly those of Germany, but also on the differences in the patterns of this approximation before and after the implementation of the Single Market Program and of the EMU. Furthermore, we draw conclusions on some specific characteristics of the considered series of rates and, in particular, of the yield curves.
|Date of creation:||Nov 2010|
|Contact details of provider:|| Postal: Department of Economics, ISEG - School of Economics and Management, University of Lisbon, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL|
Web page: https://aquila1.iseg.ulisboa.pt/aquila/departamentos/EC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kpate ADJAOUTÉ & Jean-Pierre DANTHINE, 2003. "European Financial Integration and Equity Returns: A Theory-Based Assessment," FAME Research Paper Series rp84, International Center for Financial Asset Management and Engineering.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics,
Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, "undated". "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:ise:isegwp:wp212010. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vitor Escaria)
If references are entirely missing, you can add them using this form.