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Interest Rate Linkages in EMU Countries : A Rolling Threshold Vector Error-Correction Approach
Poghosyan, Tigran; de Haan, Jakob - 2021
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...
Persistent link: https://www.econbiz.de/10013316906
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How did the Sovereign debt crisis affect the Euro financial integration? : a fractional cointegration approach
Vides, José Carlos; Golpe, Antonio A.; Iglesias, Jesús - In: Empirica : journal of european economics 45 (2018) 4, pp. 685-706
Persistent link: https://www.econbiz.de/10012031246
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Econometric analysis of integration of selected new eu member cee stock markets with global stock market and eurozone : impact of global financial crisis
Sucháček, Jan; Koutský, Jaroslav; Caridad y López … - In: Amfiteatru economic : an economic and business research … 23 (2021) 58, pp. 824-842
' stock markets with the eurozone only. Hence, this paper aims to investigate, compare and interpret integration among stock … and the eurozone equity market within 2004-2018. The added value of this article consists especially in using a wider … spectrum of econometric tools (cointegration, VAR model, Granger causality, variance decomposition) and comparison of changes …
Persistent link: https://www.econbiz.de/10012939609
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Integration and disintegration of EMU government bond markets
Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp - 2018 - This version: January 12, 2018
This paper analyzes market integration among long term government bonds in the Eurozone since the inception of the Euro …
Persistent link: https://www.econbiz.de/10011813723
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How integrated are the European retail financial markets? : a cointegration analysis
Heinemann, Friedrich; Schüler, Martin - 2002
With the introduction of the Euro, a single European money market has emerged. Further wholesale financial markets are …, bivariate and multivariate cointegration techniques are used to assess the degree of integration in four loans and two deposit …
Persistent link: https://www.econbiz.de/10011447291
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On optimal currency areas and common cycles : are the acceding countries ready to join the euro?
Grimm, Louisa; Steinkamp, Sven; Westermann, Frank - 2021
euro as their currency and recent research has shown that countries currently pursuing this goal indeed fulfill the …
Persistent link: https://www.econbiz.de/10012499619
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On optimal currency areas and common cycles : are the acceding countries ready to join the euro?
Grimm, Louisa; Steinkamp, Sven; Westermann, Frank - 2021
euro as their currency and recent research has shown that countries currently pursuing this goal indeed fulfill the …
Persistent link: https://www.econbiz.de/10012506932
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Real and financial integration in Europe : evidence for the accession states and for the pre-ins
Buch, Claudia M.; Döpke, Jörg - 1999
-ins for monetary union with respect to Germany. Using tests for cointegration and common features for monthly data during the …
Persistent link: https://www.econbiz.de/10011474986
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Swedish Financial Sector Integration with Baltic Stock Markets - A Cointegration Approach
Kazukauskas, Paulius - 2014
countries and Swedish financial sector over the sample period 2000-2011. Johansen method of multivariate cointegration is …
Persistent link: https://www.econbiz.de/10013066417
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Financial Market Integration and Co-Movements Among the Growth Rates : Evidence from South Asian Countries
Edirisuriya, Piyadasa - 2011
Since the 1980s, South Asian countries have been implementing financial market deregulation policies continuously. Although the process of deregulations has been slow, many countries in the region are heading toward a more integrated market despite current global turmoil. Financial market...
Persistent link: https://www.econbiz.de/10013125648