Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states

Abstract

The financial integration among the member-states in the long run inside the union constitutes an important task of the EU officials and policy makers. The sovereign-debt crisis of the Eurozone decelerated its economic integration and subsequently increased the unwillingness of the non-euro member-states to join the monetary union. In the light of this background, the research aim of this manuscript is to examine the bond markets integration among the EU CEE non-euro countries and the EA Big-5 economies. The empirical evidence supports that the Eastern member-states’ bond markets integration is heterogeneous and disparate. Lastly, the directional volatility spillovers, unveil that the volatility effects on the EU CEE non-euro bond markets are diversified revealing the leading role of EA core bond markets.