Munich Personal RePEc Archive

Measuring the integration of credit markets

Pavla, Vodová (2009): Measuring the integration of credit markets. Published in: STAVÁREK, D., VODOVÁ, P. (ed.) Proceedings of the 12th International Conference on Finance and Banking. (2010): pp. 260-265.

[thumbnail of MPRA_paper_25251.pdf]

Download (68kB) | Preview


The need for adequate integration of financial markets is increasingly emphasized in the eurozone countries. The aim of this paper is to describe how to measure credit market integration. The financial and credit market integration are defined in second chapter. Three methods of measuring credit market integration are described in third chapter. Price indicators are based on law of one price. Moreover, they enable us to measure the speed of integration (with beta convergence measure) and the degree of financial convergence (with sigma convergence measure). Quantity indicators involve measures of market penetration of foreign banks and measures of home bias. News-based indicators try to separate local and common effects on the change of interest rates. For all methods, data availability and quality are crucial.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.