Measuring Financial Integration in New EU Member States

38 Pages Posted: 15 Mar 2008

See all articles by Markus Baltzer

Markus Baltzer

Deutsche Bundesbank

Lorenzo Cappiello

European Central Bank (ECB)

Roberto A. De Santis

European Central Bank (ECB) - Directorate General Economics

Simone Manganelli

European Central Bank (ECB)

Date Written: March 2008

Abstract

The study considers three broad categories of financial integration measures: (i) price-based, which capture discrepancies in asset prices across different national markets; (ii) news-based, which analyse the impact that common factors have on the return process of an asset; (iii) quantity-based, which aim at quantifying the effects of frictions on the demand for and supply of securities. This paper finds that financial markets in the new EU Member States (plus Cyprus, Malta and Slovenia) are significantly less integrated than those of the euro area. Nevertheless, there is strong evidence that the process of integration is well under way and has accelerated since accession to the EU.

Suggested Citation

Baltzer, Markus and Cappiello, Lorenzo and De Santis, Roberto A. and Manganelli, Simone, Measuring Financial Integration in New EU Member States (March 2008). ECB Occasional Paper No. 81. Available at SSRN: https://ssrn.com/abstract=1084908

Markus Baltzer (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Lorenzo Cappiello

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
+49 69 1344 8765 (Phone)

Roberto A. De Santis

European Central Bank (ECB) - Directorate General Economics ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

Simone Manganelli

European Central Bank (ECB) ( email )

Kaiserstrasse 29
Frankfurt am Main, 60311
Germany

HOME PAGE: http://www.simonemanganelli.org

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