Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22254
Authors: 
Holtemöller, Oliver
Year of Publication: 
2003
Series/Report no.: 
Discussion papers of interdisciplinary research project 373 2003,40
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.
Subjects: 
Cointegration
economic convergence
European monetary union
monetary integration
interest rate parity
JEL: 
F36
C32
C22
F41
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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