Our report suggests three indicators for measuring financial integration, based on the dispersion of lending rates – namely overnight rates, unsecured lending rates, and repo rates – offered by banks among euro area countries, with the data referring to actual transactions or offered rates by EONIA, EURIBOR and EUREPO panel banks. These indicators point to a high overall degree of integration.
The unsecured interbank market has, since shortly after the introduction of the euro, been integrated to a quasi-perfect extent, shown by the respective indicators that display a euro area cross-country standard deviation of only around one basis point and below.