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Time-Varying Bond Market Integration in EMU
( Priyanshi Gupta ),( Sanjay Sehgal ),( Florent Deisting ) 세종대학교 경제통합연구소(구 세종대학교 국제경제연구소) 2015 Journal of Economic Integration Vol.30 No.4
We examine the level and progress of bond market integration amongst the eleven Economic and Monetary Union countries with active bond markets, over normal and crisis periods. The study covers data from January 2002 up to March 2014. We employ seven indicators for assessing integration, namely beta convergence, sigma convergence, variance ratio, Asymmetric Dynamic Conditional Correlation, dynamic co-integration, market synchronisation, and common factors approach. The results suggest that there is no heterogeneity in the integration process of large-sized economies and medium-sized economies, thereby restricting portfolio diversification potential. Further, bond market integration in the Economic and Monetary Union deteriorated during the crisis period, especially during the European debt crisis, with the economies of Greece, Ireland, Italy, Portugal, and Spain being the worst affected. We observe that bond markets take a lead in information linkages vis-a-vis stock markets, and hence should get precedence in policy intervention relating to market integration, development, and crisis management.
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Integration from Retail Banking to Non-Financial Corporations in EMU
( Sanjay Sehgal ),( Priyanshi Gupta ),( Florent Deisting ) 세종대학교 경제통합연구소 2016 Journal of Economic Integration Vol.31 No.3
This paper investigates the integration process within the European Economic and Monetary Union’s retail banking industry by analyzing deposit and lending rates to nonfinancial corporations. The investigation covers the 2003~2014 period, examining the normal period, the global crisis period, and the European debt crisis period. The paper classifies sampled countries into three groups on the basis of their Gross Domestic Product to investigate the relationship between economic size and degree of integration. We employ five different indicators to assess various dimensions of integration: beta convergence, sigma convergence, variance ratio, asymmetric dynamic conditional correlation, and dynamic co-integration. The results point toward a weak degree of integration, which was worsened by the twin crises. In addition, results indicate that more heterogeneity exists in the credit market than in the deposits market. Furthermore, short-term maturity products are observed to be more converged than longer-term maturity products. We also observe a positive relationship between economic size of sampled countries and the degree of retail banking integration.
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