Searching for the EMU core member countries

European Journal of Political Economy

Volumn 34, Issue , 2014, Pages

  Basse, Tobias ^a,b  

^a Norddeutsche Landesbank ^*  (Germany)

^b TOURO COLLEGE   (United States)

Author keywords

Cointegration; EMU; Interest rates; Sovereign credit risk; Structural change

Indexed keywords

EID: 84897391495     PISSN: 01762680     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejpoleco.2013.04.009     Document Type: Article

References (37)

1. Basse T. Floating exchange rates and inflation in Germany: are external shocks really irrelevant?. Economics Letters 2006, 93:393-397.
2. Basse, T., Friedrich, M. and v. d. Schulenburg, J.-M. (2011) "The Greek Debt Crisis, Structural Change and Sovereign Credit Risk: Empirical Evidence from Cointegration Analysis", Unpublished Working Paper.
3. Basse T., Friedrich M., Kleffner A. Italian government debt and sovereign credit risk: an empirical exploration and some thoughts about consequences for European insurers. Zeitschrift für die gesamte Versicherungswissenschaft 2012, 101:571-579.
4. Baum C.F., Barkoulas J. Dynamics of intra-EMS interest rate linkages. Journal of Money, Credit, and Banking 2006, 38:469-482.
5. Becker B., Hall S.G. Measuring convergence of the new member countries' exchange rates to the Euro. Journal of Financial Transformation 2007, 19:20-25.
6. Berument H., Jelassi M.M. "The Fisher hypothesis: a multi-country analysis". Applied Economics 2002, 34:1645-1655.
7. Busetti F., Forni L., Harvey A., Venditti F. "Inflation convergence and divergence within the European Monetary Union". International Journal of Central Banking 2007, 3:95-121.
8. Camarero M., Esteve V., Tamarit C. Price convergence of peripheral European countries on the way to the EMU: a time series approach. Empirical Economics 2000, 25:149-168.
9. Camarero M., Ordónez J., Tamarit C. Tests for interest rate convergence and structural breaks in the EMS: further analysis. Applied Financial Economics 2002, 12:447-456.
10. Cheung Y.-W., Lai K.S. Finite-sample sizes of Johansen's likelihood ratio tests for cointegration. Oxford Bulletin of Economics and Statistics 1993, 55:313-328.
11. Cooray A. The Fisher effect: a survey. Singapore Economic Review 2003, 48:135-150.
12. De Haan J. Inflation Differentials in the Euro Area: A Survey. The European Central Bank at Ten 2010, 11-32. Springer, Berlin. J. de Haan, H. Berger (Eds.).
13. De Haan J., Pilat D.-J., Zelhorst D. On the relationship between Dutch and German interest rates. De Economist 1991, 139:550-565.
14. Doornik J.A. Approximations to the asymptotic distributions of cointegration tests. Journal of Economic Surveys 1998, 12:573-593.
15. Engle R.F., Granger C.W.J. Co-integration and error correction: representation, estimation, and testing. Econometrica 1987, 55:251-276.
16. Favero C.A., Giavazzi F., Iacone F., Tabellini G. Extracting information from asset prices: the methodology of EMU calculators. European Economic Review 2000, 44:1607-1632.
17. Fisher I. The Rate of Interest 1907, Macmillan, New York.
18. Fountas S., Wu J.-L. Tests for interest rate convergence and structural breaks in the EMS. Applied Financial Economics 1998, 8:127-132.
19. Gonzalo J. Five alternative methods of estimating long run equilibrium relationships. Journal of Econometrics 1994, 60:1-31.
20. Granville B., Mallick S. Fisher hypothesis: UK evidence over a century. Applied Economics Letters 2004, 11:87-90.
21. Gregory A.W., Hansen B.E. Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics 1996, 70:99-126.
22. Gruppe M., Basse T. Die Folgen der Finanzkrise für Regulierung und Eigenkapital - Evolution oder Revolution in der Versicherungsbranche? 2012, 61-77. Karlsruhe, VVW. C. Schwarzbach, N. Rudschuck, J.-M. v. d. Schulenburg (Eds.).
23. Hansen H., Johansen S. Some tests for parameter constancy in cointegrated VAR-models. The Econometrics Journal 1999, 2:306-333.
24. Hassapis C., Pittis N., Prodromidis K. "Unit roots and Granger causality in the EMS interest rates: The German Dominance Hypothesis revisited". Journal of International Money and Finance 1999, 18:47-73.
25. Holmes M.J. Inflation convergence in the ERM: evidence for manufacturing and services. International Economic Journal 1998, 12:1-16.
26. Jenkins M.A., Madzharova P. Real interest rate convergence under the euro. Applied Economics Letters 2008, 15:473-476.
27. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 1991, 59:1551-1580.
28. Johansen S., Mosconi R., Nielsen B. Cointegration analysis in the presence of structural breaks in the deterministic trend. The Econometrics Journal 2000, 3:216-249.
29. Kanas A. The monetary exchange rate model within the ERM: cointegration tests and implications concerning the German dominance hypothesis. Applied Financial Economics 1997, 7:587-598.
30. Knot K., de Haan J. Fiscal policy and interest rates in the European Community. European Journal of Political Economy 1995, 11:171-187.
31. Laopodis N.T. Government bond market integration within European Union. International Research Journal of Finance and Economics 2008, 19:56-76.
32. Lund J. A model for studying the effect of EMU on European yield curves. European Finance Review 1999, 2:321-363.
33. Lütkepohl H. Vector autoregressive and vector error correction models. Applied Time Series Economics 2004, 86-156. Cambridge et al.: Cambridge University Press. H. Lütkepohl, M. Krätzig (Eds.).
34. Siklos P.L., Wohar M.E. Convergence in interest rates and inflation rates across countries and over time. Review of International Economics 1997, 5:129-141.
35. Solnik B., Boucrelle C., Le Fur Y. International market correlation and volatility. Financial Analysts Journal 1996, 52:17-34.
36. Song P.C., Sek S.K., Har W.M. Detecting the convergence clubs and catch-up in growth. Asian Economic and Financial Review 2013, 3:1-15.
37. Zietz J. Cointegration versus traditional econometric techniques in applied economics. Eastern Economic Journal 2000, 26:469-482.