Measuring financial integration in new EU member states

Markus Baltzer (), Lorenzo Cappiello (), Roberto A. De Santis () and Simone Manganelli ()
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Markus Baltzer: Deutsche Bundesbank, Wilhelm-Epstein-Strasse 14, 60431 Frankfurt am Main, Germany., http://www.bundesbank.de/
Lorenzo Cappiello: European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany., http://www.ecb.europa.eu/home/html/index.en.html

No 81, Occasional Paper Series from European Central Bank

Abstract: The study considers three broad categories of financial integration measures: (i) price-based, which capture discrepancies in asset prices across different national mar kets; (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: None

Keywords: None (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-eec
Date: 2008-03
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