2005年-ECB欧洲央行_Indicators_of_financial_integration_in_the_euro_area_September_2005_30页_604kb

Summary of "INDICATORS OF FINANCIAL INTEGRATION IN THE EURO AREA" (September 2005)

Core Content

This report, published by the European Central Bank (ECB), assesses the degree of financial integration in the euro area across key financial market segments: money, bond, equity, and banking markets. It introduces a set of financial integration indicators that are published semi-annually on the ECB's website, with the report itself published annually to monitor the progress of financial integration.

The report emphasizes that financial integration enhances the efficiency of the euro area economy by reducing the cost of capital and improving the allocation of financial resources. It also supports the effective implementation of monetary policy and contributes to financial stability. The ECB aims to further develop the dataset and indicators over time, especially for newly emerging markets.

Main Financial Market Segments and Integration Levels

Money Markets

• The unsecured money market has been fully integrated since shortly after the introduction of the euro.
• The repo market is highly integrated, though to a lesser extent than the unsecured market.
• Indicators such as cross-country standard deviation of lending rates show that the dispersion of rates across euro area countries has declined significantly, especially for EONIA and EURIBOR.
• The EUREPO rate (secured money market) also shows a high degree of integration, though with more volatility due to lower liquidity.

Bond Markets

• Government bond markets have seen a significant convergence in yields since the introduction of the euro, with common factors increasingly influencing bond prices.
• The beta-convergence indicator shows that the correlation between national and German bond yields has increased over time, indicating greater integration.
• Corporate bond markets have also become reasonably well integrated, with country effects accounting for only a small portion of yield spread variance.
• Yield differentials still exist due to liquidity differences and perceived credit risks, but these are not seen as barriers to integration.

Equity Markets

• The euro area equity markets have shown a rising degree of integration.
• Sector diversification has become more beneficial than country diversification, especially since 2000.
• Common shocks (both euro area and US) have increasingly influenced equity returns, with beta coefficients indicating a higher sensitivity to global and regional factors.
• The variance ratio shows that about 35% of equity return variance is explained by euro area-wide factors, suggesting potential for further integration.

Banking Markets

• The banking market remains highly fragmented, with limited cross-border activity.
• Retail banking shows low integration, as evidenced by the high cross-country dispersion of interest rates and limited cross-border lending.
• The interbank market has shown increasing integration, with a rise in cross-border activity and greater diversification in MFI holdings of securities.
• The ECB is conducting a comprehensive analysis of interest rate dispersion to better understand the integration process.

Key Indicators and Methodology

• The report uses two types of indicators: price-based and quantity-based.
  • Price-based indicators measure price discrepancies based on geographic origin.
  • Quantity-based indicators assess the extent to which investors internationalize their portfolios.
• Indicators are either computed (e.g., standard deviations, ratios) or model-based (e.g., beta coefficients, variance ratios).
• Model-based indicators are used when computed indicators fail to disentangle country-specific effects.
• The report focuses on euro-denominated instruments, with particular attention to price differences across euro area countries.

Future Developments

• The ECB plans to expand the dataset and include indicators for newly emerging markets such as overnight index swap and synthetic CDO markets.
• The analysis will evolve with improvements in data availability and research advancements.
• The report aims to provide a comprehensive picture of financial integration and its implications for economic growth and stability.

Conclusion

• The degree of financial integration varies across market segments.
• Money and bond markets show high levels of integration, while equity and banking markets are still in progress.
• The ECB continues to monitor and develop financial integration indicators to support monetary policy and financial stability in the euro area.