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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2854

Title: Financial integration in european countries : some panel evidence
Authors: Ferreira, Cândida
Keywords: Financial integration
European integration;
Panel estimates
Cointegration tests
Issue Date: 2010
Publisher: ISEG - Departamento de Economia
Citation: Ferreira, Cândida. 2010. "Financial integration in european countries : some panel evidence". Instituto Superior de Economia e Gestão. DE Working Papers; nº21/2010/UECE
Series/Report no.: DE Working papers; nº21/2010/UECE
Abstract: This paper provides empirical evidence of the financial integration of some developed countries, mostly in the European Union, covering the period between 1961 and 2008. The main contributions are to be found first, in the application of panel estimates and test statistics, particularly of some recently developed tests like the Westerlund (2007) bootstrap cointegration tests and the Pesaran (2004) test of cross-sectional independence, using the available AMECO series of nominal and real long-term and short-term interest rates as well as the yield curve; secondly, in the comparison of the approximations between the countries’ series of rates and those of two chosen benchmarks: the German and US rates, for six panels of EU and some non-EU countries during three specific time intervals. The obtained results allow us to draw conclusions not only on the quite high degree of approximation towards the benchmark rates, particularly those of Germany, but also on the differences in the patterns of this approximation before and after the implementation of the Single Market Program and of the EMU. Furthermore, we draw conclusions on some specific characteristics of the considered series of rates and, in particular, of the yield curves.
URI: http://hdl.handle.net/10400.5/2854
ISSN: 0874-4548
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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