Financial integration in the European Union — the impact of the crisis on the bond market
Research background: In our paper we have analyzed the influence of the crisis on the
financial integration in the European Monetary Union. We have analyzed EMU capital
market to show the impact of the crisis, with the focus on the bonds market. The determinants
of the research are yields and standard deviations on medium-term and long-term
triple-A bond markets, as well as CDS medium-term premiums.
Purpose of the article: The aim of this paper is to show the volatility of researched determinants
in periods of crisis in EMU zones.
Methods: As a model we used a modified theoretical CAL portfolio model. In the last
fifteen years Europe has been faced with two major crises: the world economic crisis and
sovereign debt crisis.
Findings & Value added: We believe that the sovereign crisis hit EMU more, leaving the
deeper implications on the financial integration. Our analysis has showed that the crisis had a major impact on the financial integration. Yields and standard deviations increased multiply
in periods of crisis and left the impact of volatility on the capital market. However, the
degree of convergence of euro area bond markets largely stabilized in last two years.