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2005-10-17Buch DOI: 10.18452/3633
Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries
dc.contributor.authorHoltemöller, Oliver
dc.date.accessioned2017-06-15T21:37:37Z
dc.date.available2017-06-15T21:37:37Z
dc.date.created2005-10-17
dc.date.issued2005-10-17
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4285
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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectCointegrationeng
dc.subjecteconomic convergenceeng
dc.subjectEuropean monetary unioneng
dc.subjectmonetary integrationeng
dc.subjectinterest rate parityeng
dc.subject.ddc330 Wirtschaft
dc.titleUncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10050534
dc.identifier.doihttp://dx.doi.org/10.18452/3633
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages29
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue40
local.edoc.container-year2003
local.edoc.container-erstkatid2135319-0

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