Financial Integration in European Countries: Some Panel Evidence

Candida Ferreira

No 2010/21, Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa

Abstract: This paper provides empirical evidence of the financial integration of some developed countries, mostly in the European Union, covering the period between 1961 and 2008. The main contributions are to be found first, in the application of panel estimates and test statistics. particularly of some recently developed tests like the Westerlund (2007) bootstrap cointegration tests and the Pesaran (2004) test of cross-sectional independence, using the available AMECO series of nominal and real long-term and short-term interest rates as well as the yield curve; secondly, in the comparison of the approximations between the countries’ series of rates and those of two chosen benchmarks: the German and US rates, for six panels of EU and some non-EU countries during three specific time intervals. The obtained results allow us to draw conclusions not only on the quite high degree of approximation towards the benchmark rates, particularly those of Germany, but also on the differences in the patterns of this approximation before and after the implementation of the Single Market Program and of the EMU. Furthermore, we draw conclusions on some specific characteristics of the considered series of rates and, in particular, of the yield curves.

Keywords: Financial integration; European integration; panel estimates; cointegration tests. (search for similar items in EconPapers)
JEL-codes: C33 E43 E44 F36 (search for similar items in EconPapers)
Date: 2010-11
New Economics Papers: this item is included in nep-eec
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More papers in Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa Department of Economics, ISEG - Lisbon School of Economics and Management, Universidade de Lisboa, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL.
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