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Lemmen, J., Eijffinger, S. The Price Approach to Financial Integration: Decomposing European Money Market Interest Rate Differentials. Credit and Capital Markets – Kredit und Kapital, 29(2), 189-223. https://doi.org/10.3790/ccm.29.2.189
Lemmen, Jan J. G. and Eijffinger, Sylvester C. W. "The Price Approach to Financial Integration: Decomposing European Money Market Interest Rate Differentials" Credit and Capital Markets – Kredit und Kapital 29.2, 1996, 189-223. https://doi.org/10.3790/ccm.29.2.189
Lemmen, Jan J. G./Eijffinger, Sylvester C. W. (1996): The Price Approach to Financial Integration: Decomposing European Money Market Interest Rate Differentials, in: Credit and Capital Markets – Kredit und Kapital, vol. 29, iss. 2, 189-223, [online] https://doi.org/10.3790/ccm.29.2.189

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The Price Approach to Financial Integration: Decomposing European Money Market Interest Rate Differentials

Lemmen, Jan J. G. | Eijffinger, Sylvester C. W.

Credit and Capital Markets – Kredit und Kapital, Vol. 29 (1996), Iss. 2 : pp. 189–223

1 Citations (CrossRef)

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Article Details

Author Details

Jan J. G. Lemmen, Tilburg

Sylvester C. W. Eijffinger, Tilburg

Cited By

  1. Financial market integration in Europe: on the effects of EMU on stock markets

    Fratzscher, Marcel

    International Journal of Finance & Economics, Vol. 7 (2002), Iss. 3 P.165

    https://doi.org/10.1002/ijfe.187 [Citations: 226]

References

  1. Akhtar, M. A. and Weiller, K. (1987): “Developments in International Capital Mobility, A Perspective on the Underlying Forces and the Empirical Literature”, In: Research Papers on International Integration of Financial Markets and U.S. Monetary Policy, Federal Reserve Bank of New York, December, pp. 13 - 69.  Google Scholar
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Abstract

The present paper deals with a theoretical and empirical analysis of money market integration in the European Community. The paper examines the degree money market integration between ten EC member states and Germany since the start of the European Monetary System in March 1979. Money market integration is defined as the ability and willingness to move money market assets across national borders. The empirical analysis relies on calculations of mean deviations from covered interest parity, ex post uncovered interest parity and ex post real interest parity. The degree of money market integration crucially depends on the devaluation risk as measured by the ex post exchange risk premium. In the case of Portugal and Greece also capital controls matter.