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Journal of Economic Integration 2016 September;31(3) :674-735.
DOI: https://doi.org/10.11130/jei.2016.31.3.674
Integration from Retail Banking to Non-Financial Corporations in EMU
Sanjay Sehgal
Priyanshi Gupta and 
Florent Deisting 
Department of Financial Studies, University of Delhi, India
Department of Management, Bengaluru, Amrita Vishwa Vidyapeetham, Amrita University, India
Groupe ESC Pau, Pau, France
Corresponding Author: Priyanshi Gupta ,Tel: +91 8879252473, Email: priyanshiguptadu@gmail.com
Copyright ©2016 Journal of Economic Integration
ABSTRACT
This paper investigates the integration process within the European Economic and Monetary Union’s retail banking industry by analyzing deposit and lending rates to non-financial corporations. The investigation covers the 2003~2014 period, examining the normal period, the global crisis period, and the European debt crisis period. The paper classifies sampled countries into three groups on the basis of their Gross Domestic Product to investigate the relationship between economic size and degree of integration. We employ five different indicators to assess various dimensions of integration: beta convergence, sigma convergence, variance ratio, asymmetric dynamic conditional correlation, and dynamic co-integration. The results point toward a weak degree of integration, which was worsened by the twin crises. In addition, results indicate that more heterogeneity exists in the credit market than in the deposits market. Furthermore, short-term maturity products are observed to be more converged than longer-term maturity products. We also observe a positive relationship between economic size of sampled countries and the degree of retail banking integration.

JEL Classification
C22: Time Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
F36: Financial Aspects of Economic Integration
G15: International Financial Markets
G21: Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Keywords: Economic and Monetary Union | Retail Banking to Non-Financial Corporations | Global Financial Crisis | Eurozone Debt Crisis | Time-Varying Retail Banking Integration.
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