@techreport{Holtemoller2003Uncovered,
abstract = {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.},
author = {Oliver Holtem\"{o}ller},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {F36; C32; C22; F41; 330; Cointegration; economic convergence; European monetary union; monetary integration; interest rate parity; Zinsparit\"{a}t; W\"{a}hrungssubstitution; Risikopr\"{a}mie; EU-Erweiterung; Europ\"{a}ische Wirtschafts- und W\"{a}hrungsunion; Europ\"{a}ische Wirtschafts- und W\"{a}hrungsunion; Sch\"{a}tzung; Sch\"{a}tzung; EU-Staaten; Osteuropa},
language = {eng},
note = {urn:nbn:de:kobv:11-10050534},
number = {2003,40},
title = {Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries},
type = {Discussion papers of interdisciplinary research project 373},
url = {http://hdl.handle.net/10419/22254},
year = {2003}
}
