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Financial integration in Europe: Evidence from Euler equation tests
Lemmen,J.J.G. Eijffinger,S.C.W.
Lemmen,J.J.G.
Eijffinger,S.C.W.
Abstract
This paper applies Obstfeld's Euler equation tests to assess the degree of financial integration in the European Union. In addition, we design a new Euler equation test which is intimately related to Obstfeld's Euler equation tests. Using data from the latest Penn World Table (Mark 6), we arrive at the following ranking of financial integration in the European Union: low integration (Greece and Portugal) intermediate (Austria, Denmark, Finland, France, Ireland, Italy, Spain and Sweden) and high (Belgium, Germany, the Netherlands and the United Kingdom). Furthermore, it appears that there is still significant room for risk diversification among European Union countries.
Description
Pagination: 20, [6]
Date
1995
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Publisher
Unknown Publisher
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32.pdf
Adobe PDF, 724.1 KB
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Keywords
EU, International Financial Markets, euler equations, Financial Integration, finance, C12 - Hypothesis Testing: General, D12 - Consumer Economics: Empirical Analysis, G15 - International Financial Markets
Citation
Lemmen, J J G & Eijffinger, S C W 1995 'Financial integration in Europe : Evidence from Euler equation tests' CentER Discussion Paper, vol. 1995-32, Unknown Publisher.