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Monetary policy convergence of potential EMU accession countries: A cointegration analysis with shifting regimes

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  • Kasman, Adnan
  • Kirbas-Kasman, Saadet
  • Turgutlu, Evrim
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    File URL: http://www.sciencedirect.com/science/article/B6VB1-4PFDPNB-1/2/6c295cf87743ccda208add9ee6d79fac
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    Bibliographic Info

    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 25 (2008)
    Issue (Month): 2 (March)
    Pages: 340-350

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    Handle: RePEc:eee:ecmode:v:25:y:2008:i:2:p:340-350

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    Web page: http://www.elsevier.com/locate/inca/30411

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    1. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
    2. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
    3. Mariam Camarero & Javier Ordon Ez & Cecilio Tamarit, 2002. "Tests for interest rate convergence and structural breaks in the EMS: further analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 12(6), pages 447-456.
    4. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    5. Sander, Harald & Kleimeier, Stefanie, 2006. "Convergence of interest rate pass-through in a wider euro zone?," Economic Systems, Elsevier, vol. 30(4), pages 405-423, December.
    6. Lemmen, J.J.G. & Eijffinger, S.C.W., 1993. "The degree of financial integration in the European Community," Open Access publications from Tilburg University urn:nbn:nl:ui:12-152892, Tilburg University.
    7. Kocenda, Evzen & Kutan, Ali M. & Yigit, Taner M., 2006. "Pilgrims to the Eurozone: How far, how fast?," Economic Systems, Elsevier, vol. 30(4), pages 311-327, December.
    8. Frankel, Jeffrey A, 1992. "Measuring International Capital Mobility: A Review," American Economic Review, American Economic Association, vol. 82(2), pages 197-202, May.
    9. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-20, July.
    10. Hali J. Edison & Linda S. Kole, 1994. "European monetary arrangements: implications for the dollar, exchange rate variability and credibility," International Finance Discussion Papers 468, Board of Governors of the Federal Reserve System (U.S.).
    11. Brada, Josef C. & Ktan, Ali M., 2001. "The convergence of monetary policy between candidate countries and the European Union," ZEI Working Papers B 07-2001, ZEI - Center for European Integration Studies, University of Bonn.
    12. Katsimbris, George M & Miller, Stephen M, 1993. "Interest Rate Linkages within the European Monetary System: Further Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 771-79, November.
    13. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    14. Stilianos Fountas & Jyh-Lin Wu, 1998. "Tests for interest rate convergence and structural breaks in the EMS," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 127-132.
    15. Karfakis, C. J. & Moschos, D.M., 1990. "Interest Rate Linkages Within the European Monetary System: A Time Series Analysis," Working Papers 144, University of Sydney, School of Economics.
    16. Brada, Josef C. & Kutan, Ali M. & Zhou, Su, 2005. "Real and monetary convergence between the European Union's core and recent member countries: A rolling cointegration approach," Journal of Banking & Finance, Elsevier, vol. 29(1), pages 249-270, January.
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    Cited by:
    1. Byrne, Joseph P & Nagayasu, Jun, 2011. "Common factors of the exchange risk premium in emerging European markets," MPRA Paper 31393, University Library of Munich, Germany.
    2. Joseph P. Byrne & Jun Nagayasu, 2008. "Common and idiosyncratic factors of the exchange risk premium in emerging European markets," Working Papers 2008_28, Business School - Economics, University of Glasgow.

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