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dc.contributor.authorPoghosyan, Tigranen_US
dc.contributor.authorde Haan, Jakoben_US
dc.contributor.authorHolmås, Tor Helgeen_US
dc.date.accessioned2007-07-27en_US
dc.date.accessioned2009-07-28T08:15:59Z-
dc.date.available2009-07-28T08:15:59Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/26105-
dc.description.abstractThis 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 induced) changes in the financial environment. The TVECM methodology is applied on interest rates from different financial markets (government bonds, deposits, loans and mortgages) in Germany, France, Italy, Belgium and the Netherlands for the 1980-2006 period. Our main finding is that only for some country pairs and financial market segments there is evidence in support of financial integration.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 2060en_US
dc.subject.jelE43en_US
dc.subject.jelF36en_US
dc.subject.ddc330en_US
dc.subject.stwZinsparitäten_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwMarktintegrationen_US
dc.subject.stwFehlerkorrekturmodellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwEU-Staatenen_US
dc.titleInterest rate linkages in EMU countries: a rolling threshold vector error-correction approachen_US
dc.typeWorking Paperen_US
dc.identifier.ppn53834847Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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