Home   |   Contact   |   Imprint   |   Intranet

Project SummaryProject StructureProject ManagementEventsPublicationsPolicy BriefsNewsletterLinks



Key Facts

  • Project Start: Feb 15 2008
  • Project End: Feb 14 2010
  • Coordinator: German Institute for Economic Research (DIW Berlin)
  • EU Contribution:
    998 170 EUR

    • // FINESS Flyer

    Upcoming Events

  • May 10-11 2010, Brussels: International Policy Conference

    • // Programme

    Recent Events

  • April 26 2010, Berlin: Advisory and Steering Committee Meeting

  • January 2010: 4th Steering Group Meeting

  • Sept 14 2009, Berlin: 3rd Steering Group Meeting

  • March 5-6 2009, Berlin: International Scientific Conference

  • March 6 2009, Berlin: 2nd Steering Group and Advisory Committee Meeting

  • Sept 8 2008, Berlin: 1st Steering Group Meeting

  • Feb 22 2008, Berlin: Kick-off Meeting

    • Consortium

    Project Structure

    WP 1: ADVANCES IN FINANCIAL MARKET INTEGRATION

    Objectives

  • To provide measures for the current state and development of financial market integration in Europe using different methods for robustness. To identify future trends for the Old and New Member States.
  • To explore structural relationships between finance and growth, including dynamic interactions and feedbacks between financial markets and the real economy.
  • To analyse the stability of the relationship between finance and growth. To determine causes of possible breaks.

    • Work description

  • Analysis of financial integration using various convergence concepts
     Dispersion of financial returns across countries shows how far various markets deviate from integration: sigma convergence. Returns should also converge to mean of the distribution: beta convergence and Markov transition probabilities to study convergence in returns.
  • Analysis of financial integration using common factor models
     Degree of integration is measured by the ability of the common (international) component in country returns to explain the development in these markets (money, bonds, stocks etc). By exploring the explanatory power of the common components over time, insights into the evolution of financial market integration are revealed.
  • Detecting structural breaks in the growth and finance relationship
     Dynamic effects and interdependencies of financial market integration and economic growth are examined by global VAR models. They are estimated in a recursive way to obtain a time series with cumulated impulse responses to real and financial shocks. Changing patterns provide evidence against stability. Ongoing structural change is tested by orthogonal GARCH models. Relative contributions of shocks arising within and outside of Europe are compared.
  • Analysis of financial convergence in New Member States
     Analysis of the convergence process by referring to current state of development in the New Member States and identification of likely future trends.
  • Policy implications
     Extraction of policy relevant conclusions for Old and New Member States.Questions to be addressed include whether the link between finance and growth has become tighter over the recent years, whether the process of European integration had a significant impact on the relationship and on the path of convergence etc.

    • Workpackage Leaders: Sean Holly, Christian Dreger

    Go back