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Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test

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Author Info
Mark Holmes
Yangru Wu

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File URL: http://hdl.handle.net/10.1007/BF02707677
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Publisher Info
Article provided by Springer in its journal Weltwirtschaftliches Archiv.

Volume (Year): 133 (1997)
Issue (Month): 1 (March)
Pages: 76-89
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Handle: RePEc:spr:weltar:v:133:y:1997:i:1:p:76-89

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Related research
Keywords: E4; F3; G1;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-38, April. [Downloadable!] (restricted)
  2. Eichengreen, Barry & Tobin, James & Wyplosz, Charles, 1995. "Two Cases for Sand in the Wheels of International Finance," Economic Journal, Royal Economic Society, vol. 105(428), pages 162-72, January. [Downloadable!] (restricted)
    Other versions:
  3. Hafer, R W & Kutan, A M, 1994. "A Long-Run View of German Dominance and the Degree of Policy Convergence in the EMS," Economic Inquiry, Oxford University Press, vol. 32(4), pages 684-95, October.
  4. Garber, Peter & Taylor, Mark P, 1995. "Sand in the Wheels of Foreign Exchange Markets: A Sceptical Note," Economic Journal, Royal Economic Society, vol. 105(428), pages 173-80, January. [Downloadable!] (restricted)
  5. Clinton, Kevin, 1988. "Transactions Costs and Covered Interest Arbitrage: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 358-70, April. [Downloadable!] (restricted)
  6. Koedijk, Kees G. & Kool, Clemens J. M., 1992. "Dominant interest and inflation differentials within the EMS," European Economic Review, Elsevier, vol. 36(4), pages 925-943, May. [Downloadable!] (restricted)
  7. Marston, Richard C., 1976. "Interest arbitrage in the Euro-currency markets," European Economic Review, Elsevier, vol. 7(1), pages 1-13. [Downloadable!] (restricted)
  8. MacDonald, Ronald & Taylor, Mark P, 1989. "Interest Rate Parity: Some New Evidence," Bulletin of Economic Research, Blackwell Publishing, vol. 41(4), pages 255-74, October.
  9. MacDonald, Ronald, 1996. "Panel unit root tests and real exchange rates," Economics Letters, Elsevier, vol. 50(1), pages 7-11, January. [Downloadable!] (restricted)
  10. Augusto López-Claros & Horst Ungerer & Thomas H. Mayer & Jouko J. Hauvonen, 1990. "The European Monetary System: Developments and Perspectives," IMF Occasional Papers 73, International Monetary Fund.
  11. Aliber, Robert Z, 1973. "The Interest Rate Parity Theorem: A Reinterpretation," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1451-59, Nov.-Dec.. [Downloadable!] (restricted)
  12. Dooley, Michael P & Isard, Peter, 1980. "Capital Controls, Political Risk, and Deviations from Interest-Rate Parity," Journal of Political Economy, University of Chicago Press, vol. 88(2), pages 370-84, April. [Downloadable!] (restricted)
  13. Kenen, Peter B, 1995. "Capital Controls, the EMS and EMU," Economic Journal, Royal Economic Society, vol. 105(428), pages 181-92, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Kashif Mansori, 2003. "Following in their Footsteps: Comparing Interest Parity Conditions in Central European Economies to the Euro Countries," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  2. J.M. Berk & K.H.W. Knot, 1999. "Co-Movements in Long-Term Interest Rates and the Role of PPP-BasedExchange Rate Expectations," DNB Staff Reports (discontinued) 37, Netherlands Central Bank. [Downloadable!]
    Other versions:
  3. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finan," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
  4. Lucio Sarno & Mark Taylor, 1998. "Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 134(1), pages 69-98, March. [Downloadable!] (restricted)
  5. Jochem, Axel & Herrmann, Sabine, 2003. "The international integration of money markets in the central and east European accession countries : deviations from covered interest parity, capital controls and inefficiencies in the financial sect," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
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