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dc.contributor.authorHoltemöller, Oliveren_US
dc.coverage.temporal1994-2003en_US
dc.date.accessioned2009-01-29T14:55:09Z-
dc.date.available2009-01-29T14:55:09Z-
dc.date.issued2003en_US
dc.identifier.piurn:nbn:de:kobv:11-10050534-
dc.identifier.urihttp://hdl.handle.net/10419/22254-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion papers of interdisciplinary research project 373 2003,40en_US
dc.subject.jelF36en_US
dc.subject.jelC32en_US
dc.subject.jelC22en_US
dc.subject.jelF41en_US
dc.subject.ddc330en_US
dc.subject.keywordCointegrationen_US
dc.subject.keywordeconomic convergenceen_US
dc.subject.keywordEuropean monetary unionen_US
dc.subject.keywordmonetary integrationen_US
dc.subject.keywordinterest rate parityen_US
dc.subject.stwZinsparitäten_US
dc.subject.stwWährungssubstitutionen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwEU-Erweiterungen_US
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen_US
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen_US
dc.subject.stwSchätzungen_US
dc.subject.stwSchätzungen_US
dc.subject.stwEU-Staatenen_US
dc.subject.stwOsteuropaen_US
dc.titleUncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countriesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn379171279en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb373:200340-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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