Integration of Markets for Sovereign Bonds in the European Union

Financial integration is a complex process which has been taking part in the European Union for decades. In this paper, the attention is paid to the integration of markets for sovereign bonds in the European Union. The aim of the paper is to find out if markets for sovereign bonds are integrated in the European Union, if the financial crisis, sovereign debt crisis and the banking union announcement had the impact on the government bond market integration. The co-integration approach is used to assess the integration of sovereign bond markets in the European Union separately for the euro area member countries and other EU member countries. The results suggest that both crises had the significant impact on market integration process. The situation improved a bit after the banking union announcement in 2012, although the level of the integration did not reach pre-crises level.