Interest rate development as an indicator of credit market integration

Jan Černohorský

International Journal of Monetary Economics and Finance, 2018, vol. 11, issue 1, 3-19

Abstract: The goal of this paper is to evaluate the development of credit market integration in selected European Union countries on the basis of an analysis of the development of lending and deposit interest rates. We began with the values of the nominal lending and deposit interest rates. For this, we have used existing interest rate differentials in selected European countries calculated as the difference between the given rate in a specific country and the average of the given rate in the European Monetary Union. We judged their relationships using the mathematical-statistical method of single-factor analysis of variance (ANOVA). For deposit interest rates, the degree of integration did not show any distinct changes; for lending interest rates, the degree of integration decreased slightly. We proved that the method used in this paper is able to assess not only the degree of credit market integration but also of financial markets as a whole.

Keywords: credit markets; integration; lending interest rate; deposit interest rate. (search for similar items in EconPapers)
Date: 2018
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