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Measuring the integration of credit markets

Author

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  • Pavla, Vodová

Abstract

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.

Suggested Citation

  • Pavla, Vodová, 2009. "Measuring the integration of credit markets," MPRA Paper 25251, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:25251
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    File URL: https://mpra.ub.uni-muenchen.de/25251/1/MPRA_paper_25251.pdf
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    References listed on IDEAS

    as
    1. Inês Cabral & Frank Dierick & Jukka Vesala, 2002. "Banking integration in the euro area," Occasional Paper Series 06, European Central Bank.
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    More about this item

    Keywords

    financial integration; credit market; price indicators; quantity indicators; news-based indicators;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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