Integration of the Treasury Bond Market in Poland and the Eurozone

摘要

International integration of financial markets is one of the important conditions for favorable monetary integration. The treasury bond market is one of the financial market segments. Polish membership in the European Union and liberalization of capital movement were important factors in the development of the Polish Treasury bond market. General government deficits and public debt in the EU countries and in Poland have made this market develop. The aim of this paper is to examine the degree of Polish treasury bond market integration with that in the eurozone. An analysis of integration of these two Treasury bond markets based on the beta-convergence model and sigma-convergence model showed a decrease in the degree of integration in the period 2004-7 and an increase in the said degree in the period 2008-9. The analysis dealing with the evolution of the β coefficient, the α_(i,t) intercept, and the variance ratio (VR_(i,t)), as well as the mean distance (δ_(i,t)) of the p coefficient from the value of 1, meaning full integration, confirmed these tendencies. It must be emphasized that there is a substantial difference between the degree of integration of Treasury bond markets in the eurozone and the degree of integration of the Polish Treasury bond market with that in the eurozone.