Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries

Arbeitspapier

This paper analyzes deviations from uncovered interest rate parity which are interpreted as indicator of the substitutability of currencies. Backward recursive statistical tests and error correction models are applied to study the co-movement of interest rates, and rolling regressions are used to illustrate size and volatility of country specific risk premia. In accordance to their degree of monetary integration with the Euro area, EU acceding and accession countries are divided into three groups. Additionally, the results show that uncovered interest rate parity is well supported by empirical evidence if it is augmented by a country-specific risk premium.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 2003,40

Classification and Topics

• Classification: Wirtschaft ; Financial Aspects of Economic Integration ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Open Economy Macroeconomics
• Subject: Cointegration ; economic convergence ; European monetary union ; monetary integration ; interest rate parity ; Zinsparität ; Währungssubstitution ; Risikoprämie ; EU-Erweiterung ; Europäische Wirtschafts- und Währungsunion ; Europäische Wirtschafts- und Währungsunion ; Schätzung ; Schätzung ; EU-Staaten ; Osteuropa

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Holtemöller, Oliver
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (where): Berlin
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/22254
• URN: urn:nbn:de:kobv:11-10050534
• Last update: 10.03.2025, 11:43 AM CET