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http://hdl.handle.net/10419/45273
  

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dc.contributor.authorWagenvoort, Rienen_US
dc.contributor.authorEbner, Andréen_US
dc.contributor.authorMorgese Borys, Magdalenaen_US
dc.date.accessioned2011-04-19en_US
dc.date.accessioned2011-04-29T08:05:12Z-
dc.date.available2011-04-29T08:05:12Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/45273-
dc.description.abstractBy using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented, albeit to various degrees depending on the type and size of the loan. Factor analysis reveals that rates on large loans and small loans with long rate fixation periods have weakly converged in the sense that, up to a fixed effect, their evolution is driven by common factors only. In contrast, the price evolution of small loans with short rate fixation periods is still affected by country-specific dynamic factors. There are few signs that bank loan rates are becoming more uniform with time.en_US
dc.language.isoengen_US
dc.publisherEuropean Investment Bank Luxembourgen_US
dc.relation.ispartofseriesEconomic and financial reports / European Investment Bank 2009/01en_US
dc.subject.jelC12en_US
dc.subject.jelC23en_US
dc.subject.jelG12en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordfinancial market integrationen_US
dc.subject.keywordcorporate loanen_US
dc.subject.keywordcorporate bonden_US
dc.subject.keywordpanel unit root testen_US
dc.subject.keywordfactor analysisen_US
dc.titleA factor analysis approach to measuring European loan and bond market integrationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn656652209en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Economic and Financial Reports, European Investment Bank (EIB)

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