Naslov
Financial Integration before and after the Crisis: Euler Equations (Re)visit the European Union

Autori
Globan, Tomislav ; Sorić, Petar

Izvornik
Ekonomický časopis (0013-3035) 65 (2017), 3; 237-262

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
consumption ; crisis ; Euler equation ; European Union ; financial integration

Sažetak
This paper aims to provide a rare application of several types of Euler equation tests to estimate the degree of financial integration of 28 EU countries with the Eurozone. The analysis is done separately for risk-free and risky assets in three types of financial markets (bond, stock and money markets). To examine whether the recent crisis impacted the levels of financial integration in EU member states, all models were estimated for the entire period of available quarterly data (1995 – 2014), as well as for the pre-crisis period only. We construct an Euler integration index (EII) that measures the integration level of countries across financial markets and show that the old member states (OMS) recorded higher integration levels than the new member states (NMS) in the pre-crisis period. The crisis has considerably decreased the gap, resulting with NMS surpassing the OMS in EII values.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA