2006年-ECB欧洲央行_Indicators_of_financial_integration_in_the_euro_area_53页_1mb

Summary of INDICATORS OF FINANCIAL INTEGRATION IN THE EURO AREA (September 2006)

Core Content

This report presents the ECB's second annual assessment of financial integration in the euro area, focusing on key financial markets and infrastructures. It introduces new indicators to evaluate integration in terms of price and quantity, as well as the role of market infrastructures in facilitating financial integration. The findings suggest that integration varies across market segments, with some showing high levels of integration and others remaining fragmented.

Main Financial Market Segments and Integration

1. Money Market

• High Integration: The euro area money market is highly integrated, particularly the unsecured interbank market, which reached "near-perfect" integration shortly after the introduction of the euro.
• Repo Market: The repo market is also highly integrated, with yield differentials across countries showing minimal dispersion.
• Infrastructure Role: The full integration of large-value payment systems (LVPS), especially the TARGET system, has been crucial in achieving this level of integration.
• Cross-Border Activity: While cross-border holdings of short-term debt securities have increased, they remain lower than in bond and equity markets.

2. Bond Markets

• Government Bonds: The introduction of the euro led to the convergence of government bond yields. The degree of integration is reflected in the standard deviation of yield differentials across countries, which has remained close to zero since 2001.
• Corporate Bonds: The corporate bond market has also become more integrated, with country effects explaining only a small portion of the cross-sectional variance in yield spreads.
• Synthetic CRT Instruments: The development of synthetic credit risk transfer (CRT) instruments, such as credit derivatives and synthetic CDOs, has contributed to market completeness and integration.
• Market Infrastructure: Despite progress in bond market integration, the securities settlement infrastructure remains fragmented, limiting the full integration of the bond and equity markets.

3. Equity Market

• Integration Trends: The euro area equity market has become more integrated, with equity returns increasingly influenced by common factors across the region.
• Diversification: Investors have diversified their equity portfolios within the euro area, indicating a growing level of integration.
• Correlation: There is an increased correlation between country and sector returns, suggesting that market participants are more influenced by shared economic conditions rather than national-specific factors.

4. Banking Markets

• Cross-Border Presence: Euro area banks have expanded their cross-border presence, contributing to the integration of banking markets.
• Fragmentation in Retail Banking: Despite progress in interbank and capital market-related activities, retail banking remains fragmented, with differences in the provision of payment services reflecting this.
• Infrastructure: The development of retail payment systems is still limited, with fragmentation in the underlying infrastructure.

Key Indicators and Findings

• Price-Based Indicators:
  • Standard deviation of yield differentials for government and corporate bonds has decreased, indicating greater integration.
  • Beta convergence suggests that bond yields are increasingly reacting to common factors rather than local ones.
• Quantity-Based Indicators:
  • Cross-border holdings of debt securities have increased significantly, especially in the long-term debt market.
  • Euro area investors have diversified their holdings of short-term and long-term debt securities within the euro area.
• Market Infrastructure:
  • The integration of large-value payment systems (e.g., TARGET) has been a key enabler of financial integration in the money market.
  • Securities clearing and settlement systems remain fragmented, though progress is being made towards technical integration.
  • Cross-border collateral use has increased, reflecting the growing Europeanisation of collateral management in the Eurosystem.

Conclusion

• Financial integration in the euro area is uneven across different market segments.
• The money and bond markets show a high degree of integration, while equity and retail banking markets are still in the process of becoming more integrated.
• The development of synthetic CRT instruments and the expansion of cross-border financial activities are important drivers of integration.
• The ECB intends to continue developing financial integration indicators, including for insurance markets, based on data availability and quality.

Key Figures and Data

• Figure 1a and 1b: Show the cross-country standard deviation of EONIA and EUREPO rates, indicating high integration in the money market.
• Figure 2: Demonstrates the increase in cross-border holdings of short-term debt securities from 7% in 2001 to 11% in 2004.
• Figure 4 and 5: Highlight the convergence of government bond yields and the beta coefficient approaching 1, indicating integration.
• Figure 6: Shows that country effects explain only a small portion of the variance in corporate bond yield spreads.
• Figure 7 and 9: Reflect the growing cross-border holdings of long-term debt securities and the diversification of investment funds within the euro area.
• Figure 10: Indicates the rapid growth of synthetic CDOs in Europe, suggesting a more integrated credit risk market.
• Figure 11: Reveals that the share of cross-border collateral held by the Eurosystem increased from 28% in 2002 to 45% in 2005.

Future Outlook

• The ECB plans to continue developing financial integration indicators, including for the insurance sector.
• The integration of market infrastructures, especially securities settlement systems, remains a key challenge.
• The role of synthetic CRT instruments in promoting market completeness and integration is expected to grow.