Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Articles Article Faculty Publications -Articles Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Asymmetric dynamic conditional copula correlation and fundamental determinants of interest rate comovement Subject The topic of the resource ADCC GARCH; Core and periphery; Determinants of convergence; Euro area; Panel regression; Retail banking integration Description An account of the resource We study time-varying interest rate comovement and its determinants for the retail banking sector in the euro area over pre-crisis and during crisis, between 2003 and 2018. The analysis is conducted for 11 euro area countries, each classified as either core or periphery. Copula Asymmetric DCC-GARCH is estimated for each country-pair to measure the dynamic interest rate correlations for deposits and loans to households. We then examine the determinants by regressing quarterly correlations on macroeconomic and cross-border linkages, banking, and sociological variables. We also assess the impact of the two crises and of policy initiatives, including negative interest rate, Single Supervisory Mechanism, and Single Regulatory Mechanism. Different panel regressions reveal limited, although varied, influence of determinants on correlations across different products, maturities, and country groups. We conclude that the intrinsic features of the retail banking industry, such as customers' trust, information asymmetry, and political influence, hinder strong interest rate convergence in the euro area. 2019-Center for Economic Integration, Sejong Institution, Sejong University, All Rights Reserved. Creator An entity primarily responsible for making the resource Gupta P.; Sehgal S. Source A related resource from which the described resource is derived Journal of Economic Integration, Vol-34, No. 4, pp. 667-704. Publisher An entity responsible for making the resource available Center for Economic Integration Date A point or period of time associated with an event in the lifecycle of the resource 2019-01-01 Identifier An unambiguous reference to the resource within a given context <a href="https://doi.org/10.11130/jei.2019.34.4.667" target="_blank" rel="noreferrer noopener">https://doi.org/10.11130/jei.2019.34.4.667</a> <br /><br /><a href="https://www.scopus.com/inward/record.uri?eid=2-s2.0-85075940127&amp;doi=10.11130%2Fjei.2019.34.4.667&amp;partnerID=40&amp;md5=848b0f765eb6bc09d8472c41cd8894f4" target="_blank" rel="noreferrer noopener">https://www.scopus.com/inward/record.uri?eid=2-s2.0-85075940127&amp;doi=10.11130%2fjei.2019.34.4.667&amp;partnerID=40&amp;md5=848b0f765eb6bc09d8472c41cd8894f4</a> Rights Information about rights held in and over the resource All Open Access; Gold Open Access; Green Open Access Relation A related resource ISSN: 1225651X Format The file format, physical medium, or dimensions of the resource Online Language A language of the resource English Type The nature or genre of the resource Article Coverage The spatial or temporal topic of the resource, the spatial applicability of the resource, or the jurisdiction under which the resource is relevant Gupta P., CHRIST, India; Sehgal S., Department of Financial Studies, University of Delhi, South Campus, New Delhi, 110021, India