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dc.contributor.authorPoghosyan, Tigranen
dc.contributor.authorde Haan, Jakoben
dc.contributor.authorHolmås, Tor Helgeen
dc.date.accessioned2007-07-27-
dc.date.accessioned2009-07-28T08:15:59Z-
dc.date.available2009-07-28T08:15:59Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2060en
dc.subject.jelE43en
dc.subject.jelF36en
dc.subject.ddc330en
dc.subject.stwZinsparitäten
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwMarktintegrationen
dc.subject.stwFehlerkorrekturmodellen
dc.subject.stwSchätzungen
dc.subject.stwEU-Staatenen
dc.titleInterest rate linkages in EMU countries: a rolling threshold vector error-correction approach-
dc.typeWorking Paperen
dc.identifier.ppn53834847Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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