Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach

Jakob de Haan, Tigran Poghosyan and Jakob de Haan
Authors registered in the RePEc Author Service: Jakob de Haan

No 2060, CESifo Working Paper Series from CESifo

Abstract: This paper revisits financial market integration in the European Economic and Monetary Union, using a threshold vector error-correction model (TVECM) for a fixed rolling window. This approach enables us to analyze the dynamics of transaction costs and detect any co-movements with (policy induced) changes in the financial environment. The TVECM methodology is applied on interest rates from different financial markets (government bonds, deposits, loans and mortgages) in Germany, France, Italy, Belgium and the Netherlands for the 1980-2006 period. Our main finding is that only for some country pairs and financial market segments there is evidence in support of financial integration.

Keywords: interest rate linkages; financial integration; EMU; threshold vector error-correction (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (7)

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