Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries

International Economics and Economic Policy

Volumn 2, Issue 1, 2005, Pages 33-63

  Holtemöller, Oliver ^a  

^a RWTH AACHEN UNIVERSITY   (Germany)

Author keywords

Cointegration; Economic convergence; European monetary union; Interest rate parity; Monetary integration; Risk premium

Indexed keywords

EID: 21244456810     PISSN: 16124804     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10368-005-0026-0     Document Type: Article

References (34)

1. Batini N, Haldane A G (1999) Forward-looking rules for monetary policy. In: Taylor J B (Ed) Monetary policy rules, The University of Chicago Press, Chicago, 157-192
2. Bayoumi T, Eichengreen B (1997) Ever closer to heaven? An optimum-currency-area index for European countries. European Economic Review 41:761-770
3. Cheung Y-W, Chinn M D, Garcia Pascual A (2002) Empirical exchange rate models of the nineties: Are they fit to survive? National Bureau of Economic Research Working Paper 9393
4. Chinn MD,Meredith G (1998) Long-horizon uncovered interest rate parity. National Bureau of Economic Research Working Paper 6797
5. DekaBank (2003) Deka Converging Europe Indicator. Unpublished document, available per email from economics@dekabank.de
6. Deutsche Bank Research (2000) EU Enlargement Monitor Central and Eastern Europe 2
7. Deutsche Bank Research (2004) EU Monitor 18
8. Engel C (1996) The forward discount anomaly and the risk premium: A survey of recent evidence. Journal of Empirical Finance 3:123-192
9. European Central Bank (2000) Convergence Report 2000
10. European Central Bank (2001) The euro area after the entry of Greece. Monthly Bulletin, January, 35-41
11. European Central Bank (2002a) Annual Report 2002
12. European Central Bank (2002b) Convergence Report 2002
13. European Central Bank (2004) Convergence Report 2004
14. Fidrmuc J, Korhonen I (2003) Similarity of supply and demand shocks between the euro area and the CEECs. Economic Systems 27:313-334
15. de Grauwe P (2003a) Economics of monetary union, Fifth edition. Oxford University Press, Oxford
16. de Grauwe P (2003b) The Euro at stake? The monetary union in an enlarged Europe. CESifo Economic Studies 49:103-121
17. Hamilton JD (1994) Time series analysis. Princeton University Press, Princeton
18. Johansen S (1995) Likelihood-based inference in cointegrated vector autoregressive models. Oxford University Press, New York
19. Johansen S (2000) A Bartlett correction factor for tests on the cointegration relations. Econometric Theory 16:740-778
20. Johansen S (2002a) A small sample correction for tests of hypotheses on the cointegrating vectors. Journal of Econometrics 111:195-221
21. Johansen S (2002b) A small sample correction for the test of cointegrating rank in the vectorautoregressive model. Econometrica 70:1929-1961
22. Kim Y, Chow H K (2003) Optimum currency area in Europe: An alternative assessment. Economics Letters 81:297-304
23. Krugman P R, Obstfeld M (2003) International economics, sixth edition. Addison-Wesley, Boston
24. Levich R M (1989) Is the foreign exchange market efficient? Oxford Review of Economic Policy 5:40-60
25. Lothian J R (2002) The internationalization of money and finance and the globalization of financial markets. Journal of International Money and Finance 21:699-724
26. Lütkepohl H (2001) Vector autoregressions. In: Baltagi B (Ed.) Companion to theoretical econometrics. Blackwell, Oxford 678-699
27. Mark NC (2001) International macroeconomics and finance. Blackwell Publishers, Malden
28. McCallum B T (1994) A reconsideration of the uncovered interest rate parity relationship. Journal of Monetary Economics 33:105-132
29. Merlevede B, Plasmans J, Aarle B (2003) A small macroeconomic model of the EU-accession countries. Open Economies Review 14:221-250
30. Obstfeld M, Rogoff K (1995) Exchange rate dynamics Redux. Journal of Political Economy 103:624-660
31. Orlowski L T (2003) Monetary convergence and risk premiums in the EU accession countries. Open Economies Review 14:251-267
32. Piazolo D (2000) Eastern Europe between transition and accession: An analysis of reform requirements. Kiel Working Paper 991, Kiel Institute of World Economics, Kiel
33. Taylor J B (1993) Macroeconomic policy in a world economy. Norton & Company, New York
34. Wolters J (2002) Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe. In: Klein I, Mittnik S (Eds.) Contributions to modern econometrics: From data analysis to economic policy, Festschrift in honour of Gerd Hansen. Kluwer, 271-282