European Financial Market Integration: A Closer Look at Government Bonds in Eurozone Countries

Sebastian Weber

No 1.1b, Working Paper / FINESS from DIW Berlin, German Institute for Economic Research

Abstract: The European Union made a number of steps not least of them the introduction of a common currency to foster the integration of the European financial markets. A number of papers have tried to gauge the degree of integration for various financial markets looking at the convergence of interest rates. A common finding is that government bond markets are quite well integrated. In this paper stochastic Kernel density estimates are used to take a closer look at the dynamics that drive the process of interest rate convergence. The main finding is that countries with large initial deviations from the mean interest rate do indeed converge. Interestingly the candidates least suspected namely the countries initially with interest rates at the mean level show a pattern of slight divergence.

Keywords: Financial markets integration; euro area government bonds; stochastic Kernel density estimates (search for similar items in EconPapers)
JEL-codes: C23 E44 G15 (search for similar items in EconPapers)
Pages: 21 p.
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:diw:diwfin:diwfin1.1b

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