Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119478
Authors: 
Weber, Sebastian
Year of Publication: 
2009
Series/Report no.: 
FINESS Working Paper D.1.1b
Abstract: 
The European Union made a number of steps not least of them the introduction of a common currency to foster the integration of the European financial markets. A number of papers have tried to gauge the degree of integration for various financial markets looking at the convergence of interest rates. A common finding is that government bond markets are quite well integrated. In this paper stochastic Kernel density estimates are used to take a closer look at the dynamics that drive the process of interest rate convergence. The main finding is that countries with large initial deviations from the mean interest rate do indeed converge. Interestingly the candidates least suspected namely the countries initially with interest rates at the mean level show a pattern of slight divergence.
Subjects: 
Financial markets integration
euro area government bonds
stochastic Kernel density estimates
JEL: 
C23
E44
G15
Document Type: 
Working Paper

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