文章基本信息

标题：Bond Market and Stock Market Integration in Europe
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作者：Robert-Paul Berben en W. Jos Jansen
期刊名称：DNB Working Papers / De Nederlandsche Bank
出版年度：2005
卷号：1
出版社：De Nederlandsche Bank
摘要：This paper investigates whether there has been a structural increase in financial market integration in nine European countries and the US in the period 1980-2003. We employ a GARCH model with a smoothly time-varying correlation to estimate the date of change and the speed of the transition between the low and high correlation regimes. Our test produces strong evidence of greater comovement across the board for both stock markets and government bond markets. Dates of change and speeds of adjustment vary widely across country linkages. Stock market integration is a more gradual process than bond market integration. The impact of European monetary union (EMU) is rather limited, as it has mainly affected the timing of bond market correlation gains (but hardly their size) and has had little discernible effect on stock market integration. JEL Code C22, G10, G15.
关键词：financial integration, comovement, smooth transition, European integration