Measuring financial integration in the euro area

Lieven Baele, Annalisa Ferrando, Peter Hördahl, Elizaveta Krylova and Cyril Monnet

No 14, Occasional Paper Series from European Central Bank

Abstract: In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two types of indicators that can be broadly categorised as price-based and news-based measures. We complemented these measures by a number of quantity-based indicators, mainly related to the evolution of the home bias. Results indicate that the unsecured money market is fully integrated, while integration is reasonably high in the government and corporate bond market, as well as in the equity markets. The credit market is among the least integrated, especially in the short-term segment. JEL Classification: G12, G14, G15, G18

Keywords: EMU; financial integration; law of one price (search for similar items in EconPapers)
Date: 2004-05
Note: 235236
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (415)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpops/ecbocp14.pdf (application/pdf)

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:ecb:ecbops:200414

Access Statistics for this paper

More papers in Occasional Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().