期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2009
卷号：2009
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：The European Union made a number of steps not least of them the introduction of
a common currency to foster the integration of the European financial markets. A
number of papers have tried to gauge the degree of integration for various
financial markets looking at the convergence of interest rates. A common finding
is that government bond markets are quite well integrated. In this paper
stochastic Kernel density estimates are used to take a closer look at the
dynamics that drive the process of interest rate convergence. The main finding
is that countries with large initial deviations from the mean interest rate do
indeed converge. Interestingly the candidates least suspected namely the
countries initially with interest rates at the mean level show a pattern of
slight divergence.
关键词：Financial markets integration, euro area government bonds, stochastic
Kernel-density estimates
