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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

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

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

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

How integrated are the European retail financial markets? : a cointegration analysis

Schüler, Martin - 2002

Persistent link: https://www.econbiz.de/10013428473

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