Measuring the integration of credit markets
The need for adequate integration of financial markets is increasingly emphasized in the eurozone countries. The aim of this paper is to describe how to measure credit market integration. The financial and credit market integration are defined in second chapter. Three methods of measuring credit market integration are described in third chapter. Price indicators are based on law of one price. Moreover, they enable us to measure the speed of integration (with beta convergence measure) and the degree of financial convergence (with sigma convergence measure). Quantity indicators involve measures of market penetration of foreign banks and measures of home bias. News-based indicators try to separate local and common effects on the change of interest rates. For all methods, data availability and quality are crucial.
|Date of creation:||2009|
|Date of revision:|
|Publication status:||Published in STAVÁREK, D., VODOVÁ, P. (ed.) Proceedings of the 12th International Conference on Finance and Banking. (2010): pp. 260-265|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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- Inês Cabral & Frank Dierick & Jukka Vesala, 2002. "Banking integration in the euro area," Occasional Paper Series 06, European Central Bank.
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