We assess monetary convergence preceding the implementation of the European Monetary Union (EMU) through Kalman filtering estimates of the risk premium of eleven forward exchange rates of European and non-European currencies. Since all participating currencies are in effect identical from...

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...

The purpose of this paper is to analyze the various challenges facing European integration and the EU institutional architecture as result of the global financial crisis. The European integration process is not yet complete, both in terms of its content and geographical coverage. It can be...

The purpose of this paper is to analyze the various challenges facing European integration and the EU institutional architecture as result of the global financial crisis. The European integration process is not yet complete, both in terms of its content and geographical coverage. It can be...

The single most important policy-induced innovation in the international financial system since the collapse of the Bretton-Woods regime is the institution of the European Monetary Union. This paper provides an account of how the process of financial integration has promoted financial...

The Eurozone is in the midst of a deep crisis. We argue that the attempts to control government deficits and debts using the Stability and Growth Pact have failed. Moreover, austerity policies are inducing downward spirals in terms of growth. Political leaders have promised deeper political,...

This paper examines the propagation of volatility and liquidity shocks across major sovereign bond markets during the euro area sovereign debt crisis. Spillovers are measured via a forecast error variance decomposition of a vector autoregressive model, which captures jointly the dynamics of...

We examine whether sovereign credit risk shocks emanating from the GIIPS countries had an effect on central European countries such as the Czech Republic, Hungary, Poland and Slovakia (the Visegrad group). In addition to the GIIPS and Visegrad group countries we als include Austria, France and...

The literature about the sovereign yield spreads grew substantially with the euro debt crisis, mainly because of the rising concerns about the Eurozone future and the skepticism regarding the radical shifts in few EMU countries' interest rates which cannot be explained by standard models. With...