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Tests for interest rate convergence and structural breaks in the EMS: further analysis

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  • Mariam Camarero
  • Javier Ordon Ez
  • Cecilio Tamarit

Abstract

In this paper the linkages existing between the interest rates within the European Union countries are assessed, to discover if the Exchange Rate Mechanism has led to a converging process. This hypothesis is tested using the uncovered interest rate parity relative to the Maastricht Treaty's interest rate criterion. The obtained results allow classification of the European countries from the point of view of the degree of convergence already achieved. The techniques used are unit roots, allowing for endogenously determined changes in the deterministic trends of the data, as well as the Kalman filter, which permits the convergence path of the series to be followed.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010005294
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 12 (2002)
Issue (Month): 6 ()
Pages: 447-456

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Handle: RePEc:taf:apfiec:v:12:y:2002:i:6:p:447-456

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Cited by:
  1. Baskaran, Thushyanthan, 2009. "Did the Maastricht treaty matter for macroeconomic performance?," MPRA Paper 30106, University Library of Munich, Germany.
  2. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2010. "Stochastic Convergence in the Euro Area," Working papers 2010-32, University of Connecticut, Department of Economics.
  3. Stefano Schiavo, 2005. "Euro bonds: in search of financial spillovers," Sciences Po publications 2, Sciences Po.
  4. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2014. "Testing for a break in the persistence in yield spreads of EMU government bonds," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 109-118.
  5. Siklos, Pierre L., 2010. "Meeting Maastricht: Nominal convergence of the new member states toward EMU," Economic Modelling, Elsevier, vol. 27(2), pages 507-515, March.
  6. Adnan Kasman & Saadet Kirbas-Kasman & Evrim Turgutlu, 2005. "Nominal and real convergence between the CEE countries and the EU: a fractional cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2487-2500.
  7. Kasman, Adnan & Kirbas-Kasman, Saadet & Turgutlu, Evrim, 2008. "Monetary policy convergence of potential EMU accession countries: A cointegration analysis with shifting regimes," Economic Modelling, Elsevier, vol. 25(2), pages 340-350, March.
  8. Sonila Beliu & Matthew Higgins, 2004. "Fractional cointegration analysis of EU convergence," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1607-1611.

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