EFR 2009-01 A factor analysis approach to measuring European loan and bond market integration
By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented, albeit to various degrees depending on the type and size of the loan. Factor analysis reveals that rates on large loans and small loans with long rate fixation periods have weakly converged in the sense that, up to a fixed effect, their evolution is driven by common factors only. In contrast, the price evolution of small loans with short rate fixation periods is still affected by country-specific dynamic factors. There are few signs that bank loan rates are becoming more uniform with time.
|Date of creation:||30 Nov 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (+352) 43 79 1
Fax: (+352) 43 79 68 895
Web page: http://www.eib.org/efs/
More information through EDIRC
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.:
- Degryse, Hans & Van Cayseele, Patrick, 2000.
"Relationship Lending within a Bank-Based System: Evidence from European Small Business Data,"
Journal of Financial Intermediation,
Elsevier, vol. 9(1), pages 90-109, January.
- Hans Degryse & Partick Van cayseele, 1998. "Relationship Lending within a Bank-based System: Evidence from European Small Business Data," Center for Economic Studies - Discussion papers ces9816, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
- Paul Schure & Dermot O'Brien & Rien Wagenvoort, 2002.
"The Efficiency and the Conduct of European Banks: Developments after 1992,"
EUI-RSCAS Working Papers
60, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
- Schure, Paul & Wagenvoort, Rien & O'Brien, Dermot, 2004. "The efficiency and the conduct of European banks: Developments after 1992," Review of Financial Economics, Elsevier, vol. 13(4), pages 371-396.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
"Testing for Unit Roots in Heterogeneous Panels,"
Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
- Michiel van Leuvensteijn & Christoffer Kok Sørensen & Jacob A. Bikker & Adrian van Rixtel, 2008.
"Impact of bank competition on the interest rate pass-through in the euro area,"
Banco de Espa�a Working Papers
0828, Banco de Espa�a.
- Michiel van Leuvensteijn & Christoffer Kok S�rensen & Jacob A. Bikker & Adrian A.R.J.M. van Rixtel, 2013. "Impact of bank competition on the interest rate pass-through in the euro area," Applied Economics, Taylor & Francis Journals, vol. 45(11), pages 1359-1380, April.
- van Leuvensteijn, Michiel & Kok, Christoffer & Bikker, Jacob A. & Van Rixtel, Adrian, 2008. "Impact of bank competition on the interest rate pass-through in the euro area," Working Paper Series 0885, European Central Bank.
- M. van leuvensteijn & C. Kok Sorensen & J.A. Bikker & A.A.R.J.M. van Rixtel, 2008. "Impact of bank competition on the interest rate pass-through in the euro area," DNB Working Papers 171, Netherlands Central Bank, Research Department.
- M. van Leuvensteijn & C. Kok SÃ¸rensen & J.A. Bikker & A.A.R.J.M. van Rixtel, 2008. "Impact of bank competition on the interest rate pass-through in the euro area," Working Papers 08-08, Utrecht School of Economics.
- Michiel van Leuvensteijn & C. Kok Sorensen & J.A. Bikker & A.A.R.J.M. Rixtel, 2008. "Impact of bank competition on the interest rate pass-through in the euro area," CPB Discussion Paper 103, CPB Netherlands Bureau for Economic Policy Analysis.
- Kaddour Hadri, 1999.
"Testing For Stationarity In Heterogeneous Panel Data,"
1999_04, University of Liverpool Management School.
- Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
- Boot, Arnoud W. A., 2000. "Relationship Banking: What Do We Know?," Journal of Financial Intermediation, Elsevier, vol. 9(1), pages 7-25, January.
- Reint Gropp & Anil Kashyap, 2009.
"A New Metric for Banking Integration in Europe,"
NBER Working Papers
14735, National Bureau of Economic Research, Inc.
- Kleimeier, Stefanie & Sander, Harald, 2006.
"Regional versus global integration of euro-zone retail banking markets: Understanding the recent evidence from price-based integration measures,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 46(3), pages 353-368, July.
- Kleimeier,Stefanie & Sander,Harald, 2005. "Regional Versus Global Integration of Euro Zone Retail Banking Markets: Understanding the Recent Evidence from Price-Based Integration Measures," Research Memorandum 031, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Melnik, Arie & Nissim, Doron, 2006. "Issue costs in the Eurobond market: The effects of market integration," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 157-177, January.
- K. Jöreskog, 1969. "A general approach to confirmatory maximum likelihood factor analysis," Psychometrika, Springer, vol. 34(2), pages 183-202, June.
- Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
- Robert E. Carpenter & Bruce C. Petersen, 2002. "Is The Growth Of Small Firms Constrained By Internal Finance?," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 298-309, May.
- 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, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- Maudos, Joaquin & Fernandez de Guevara, Juan, 2003.
"Factors Explaining the Interest Margin in the Banking Sectors of the European Union,"
15252, University Library of Munich, Germany.
- Maudos, Joaquin & Fernandez de Guevara, Juan, 2004. "Factors explaining the interest margin in the banking sectors of the European Union," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2259-2281, September.
- Casu, Barbara & Girardone, Claudia & Molyneux, Philip, 2004. "Productivity change in European banking: A comparison of parametric and non-parametric approaches," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2521-2540, October.
- Wagenvoort, Rien, 2003. "Are finance constraints hindering the growth of SMEs in Europe?," EIB Papers 7/2003, European Investment Bank, Economics Department.
- Giampaolo Gabbi & Andrea Sironi, 2005. "Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 59-74.
- Donald Rubin & Dorothy Thayer, 1982. "EM algorithms for ML factor analysis," Psychometrika, Springer, vol. 47(1), pages 69-76, March.
When requesting a correction, please mention this item's handle: RePEc:ris:eibefr:2009_001. 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: (Polyxeni Kanelliadou)
If references are entirely missing, you can add them using this form.