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Price Indicators as a Measure of Credit Market Integration in the Visegrad Countries

Author

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  • Vodova, Pavla

    (Silesian University in Opava, School of Business Administration in Karviná, Department of Finance, Univerzitní nám. 1934, 733 40 Karviná, Czech Republic)

Abstract

In this paper we assess with price indicators the extent to which credit markets in the Visegrad countries are integrated with the Eurozone countries and we test the hypothesis that the markets of loans provided to nonfinancial companies are more integrated than the markets of loans provided to households in the Visegrad countries. Analysis is based on monthly values of four interest rates for the period January 2005-March 2010. Convergence is taking place in all the analyzed segments of credit market. However, the speed of convergence and the degree of convergence differs among market segments and countries. The tested hypothesis has not been fully confirmed: the markets of loans to nonfinancial companies are more integrated than the consumer loan markets, but less integrated than the mortgage loan markets.

Suggested Citation

  • Vodova, Pavla, 2012. "Price Indicators as a Measure of Credit Market Integration in the Visegrad Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 62-73, March.
    • Handle: RePEc:rjr:romjef:v::y:2012:i:1:p:62-73
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    References listed on IDEAS

    as
    1. Inês Cabral & Frank Dierick & Jukka Vesala, 2002. "Banking integration in the euro area," Occasional Paper Series 06, European Central Bank.
    2. Ian Babetskii & Luboš Komárek & Zlatuše Komárková, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(7-8), pages 341-362, September.
    3. Baele, Lieven & Ferrando, Annalisa & Hördahl, Peter & Krylova, Elizaveta & Monnet, Cyril, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
    4. Vesala, Jukka & Cabral, Inês & Dierick, Frank, 2002. "Banking integration in the euro area," Occasional Paper Series 6, European Central Bank.
    5. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    credit market integration; price indicators; beta convergence; sigma convergence; Visegrad countries;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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