Abstract
ABSTRACT This paper employs wavelet coherence analysis to examine the co-movement of inflation and financial integration (FI) in the Euro area. We measure FI using the ECB’s integration indicators. Our results demonstrate that the relationship between inflation and FI varies over time, presenting a dynamic nature. The link between inflation and FI intensifies during crisis. We find a limited impact of inflation on money market integration while documenting a significant adverse effect on bond and equity market integration.
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