This paper examines the degree of integration at euro area financial markets. To that end, we estimate overall and country-specific integration indices based on a panel vector-autoregression with factor stochastic volatility. Our results indicate a more heterogeneous bond market compared to the market for lending rates. At both markets, the global financial crisis and the sovereign debt crisis led to a severe decline in financial integration, which fully recovered since then. We furthermore identify countries that deviate from their peers either by responding differently to crisis events or by taking on different roles in the spillover network. The latter analysis reveals two set of countries, namely a main body of countries that receives and transmits spillovers and a second, smaller group of spillover absorbing economies. Finally, we demonstrate by estimating an augmented Taylor rule that euro area short-term interest rates are positively linked to the level of integration on the bond market.

翻译：本文研究了欧元区金融市场的整合程度。为此，我们基于带有因子随机波动的面板向量自回归模型，估计了整体性和国别性的整合指数。研究结果显示，相较于贷款利率市场，债券市场的异质性更为显著。在这两个市场中，全球金融危机和主权债务危机均导致金融整合程度严重下降，但此后已完全恢复。此外，我们还识别出一些国家，它们或对危机事件反应不同，或在溢出网络中扮演不同角色。后一项分析揭示了两类国家：一类是主要经济体，既接收也传递溢出效应；另一类是规模较小的第二类国家，即溢出吸收型经济体。最后，通过估计扩展的泰勒规则，我们证明欧元区短期利率与债券市场的整合程度呈正相关关系。