Integration in European Retail Banking: Evidence from Savings and Lending Rates to the Household Sector

Rughoo, Aarti and Sarantis, Nicholas (2011) Integration in European Retail Banking: Evidence from Savings and Lending Rates to the Household Sector. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (22). pp. 2-36.

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Abstract

The aim of this paper is to examine the integration process within the European Union retail banking sector during the period 1991-2008 by analysing deposit and lending rates to households. An important contribution of the paper is the application of the recently developed Phillips and Sul (2007a) panel convergence methodology which has not hitherto been employed in this area. This method analyses the degree as well as the speed of convergence, identifies the presence of club formation, and measures the behaviour of each country’s transition path relative to the panel average. We find evidence supporting integration in the deposit and short-term mortgage markets but not in the consumer credit market and longer term mortgages. The club clustering tests suggest that the convergence process is not homogeneous among countries. In addition, it is observed that the speed of
convergence is inversely related to the maturity duration for all deposit and lending rates.

Item Type: Article
Uncontrolled Keywords: Centre for EMEA Banking, Finance and Economics Working Paper Series, Integration; European retail banking; savings; lending rates; household sector; Phillip and Sul convergence method
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: David Pester
Date Deposited: 21 Apr 2015 09:27
Last Modified: 21 Apr 2015 11:28
URI: http://repository.londonmet.ac.uk/id/eprint/442

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