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Title:Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries PDF Logo
Authors:Holtemöller, Oliver
Issue Date: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:urn:nbn:de:kobv:11-10050534
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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