Integration in European retail banking: Evidence from savings and lending rates to non-financial corporations

► We investigate the integration process in the European Union retail banking sector during 2003-2011. ► We apply the Phillips and Sul (2007a,b) convergence methodology to deposit and lending rates to non-financial corporations. ► We find the presence of convergence in the savings and credit markets up to 2007. ► The null of convergence is rejected in all deposit and credit markets after the onset of the 2008 financial crisis. ► The credit market displays greater heterogeneity than the savings market.