Los procesos de convergencia financiera en Europa y su relación con el ciclo económico

José Luis Cendejas Bueno, Juan del Hoyo Bernat (juan.hoyo@uam.es), Jesús Guillermo Llorente Álvarez (guiller@uam.es), Manuel Monjas Barroso (manuel.monjas@uam.es) and Carlos Rivero Rodríguez (crivero@mat.ucm.es)
Additional contact information
Juan del Hoyo Bernat: UNIVERSIDAD AUTÓNOMA DE MADRID UNIVERSIDAD COMPLUTENSE DE MADRID
Jesús Guillermo Llorente Álvarez: UNIVERSIDAD AUTÓNOMA DE MADRID UNIVERSIDAD COMPLUTENSE DE MADRID
Manuel Monjas Barroso: UNIVERSIDAD AUTÓNOMA DE MADRID UNIVERSIDAD COMPLUTENSE DE MADRID
Carlos Rivero Rodríguez: UNIVERSIDAD COMPLUTENSE DE MADRID

No 201087, Working Papers from Fundacion BBVA / BBVA Foundation

Abstract: This working paper studies the convergence process in financial markets and its relation with the business cycle in 15 economies of the European Union. We use unobserved component models and a regression model. The regression model defines convergence as the discrepancy between two variables conveniently defined. The considered variables are the interest rates of the public debt (ten-year rates, in nominal and real terms), the slope of the term structure (ten-year minus three months) and the rates of return in the stockmarket. We find a convergence process for the interest rates and the term spread before the third quarter of 1998. After this, there is integration in the ten-year nominal rates and the term spread, but not in the real rates; they evolve in a band with constant dispersion. The rates of return in the stock market do not integrate, though they move within a band of constant variance. The GDP in the studied countries only has a positive influence over the convergence process for the nominal rates.

Keywords: Financial convergence; business cycles; market integration; European debt markets; unobserved components models. (search for similar items in EconPapers)
Pages: 114
Date: 2007-10
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.fbbva.es/TLFU/tlfu/esp/publicaciones/do ... index.jsp?codigo=245
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.fbbva.es/TLFU/tlfu/esp/publicaciones/documentos/fichadoc/index.jsp?codigo=245 [301 Moved Permanently]--> https://www.fbbva.es/TLFU/tlfu/esp/publicaciones/documentos/fichadoc/index.jsp?codigo=245)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fbb:wpaper:201087

Access Statistics for this paper

More papers in Working Papers from Fundacion BBVA / BBVA Foundation Contact information at EDIRC.
Bibliographic data for series maintained by Fundacion BBVA / BBVA Foundation (publicaciones@fbbva.es).