Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22254 
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dc.contributor.authorHoltemöller, Oliveren
dc.date.accessioned2009-01-29T14:55:09Z-
dc.date.available2009-01-29T14:55:09Z-
dc.date.issued2003-
dc.identifier.piurn:nbn:de:kobv:11-10050534en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2003,40en
dc.subject.jelF36en
dc.subject.jelC32en
dc.subject.jelC22en
dc.subject.jelF41en
dc.subject.ddc330en
dc.subject.keywordCointegrationen
dc.subject.keywordeconomic convergenceen
dc.subject.keywordEuropean monetary unionen
dc.subject.keywordmonetary integrationen
dc.subject.keywordinterest rate parityen
dc.subject.stwZinsparitäten
dc.subject.stwWährungssubstitutionen
dc.subject.stwRisikoprämieen
dc.subject.stwEU-Erweiterungen
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen
dc.subject.stwSchätzungen
dc.subject.stwSchätzungen
dc.subject.stwEU-Staatenen
dc.subject.stwOsteuropaen
dc.titleUncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries-
dc.typeWorking Paperen
dc.identifier.ppn379171279en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200340en

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