Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/26105 
Year of Publication: 
2007
Series/Report no.: 
CESifo Working Paper No. 2060
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
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 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.
JEL: 
E43
F36
Document Type: 
Working Paper
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