This paper examines the degree of fragmentation in the Euro overnight unsecured money market during the period June …

This paper investigates whether comovements between euro area equity returns at national and industry level have … changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the … degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of …

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second …, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH … movements in both equity and bond euro area markets, suggesting that integration has progressed since the introduction of the …

themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the … between themselves and with the euro area. As for smaller countries, only Estonia and to a less extent Cyprus show increased … integration both with the euro zone and the block of large economies. In the bond markets, we document an increase in integration …

This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund … price and exchange rate effects and prompted a passive shift of euro area investors into riskier assets, in particular …

This paper studies the determinants of interest rate spreads of euro area 10 year government bonds against the … benchmark, the German bund, after the introduction of the euro. In particular, it pays attention to the question whether market …

main euro area payment system. To identify exogenous shocks to central bank liquidity, we exploit the timing of ECB …-facto lender-of-last-resort to the euro area banking system and identify two main effects of central bank liquidity provision on …