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Following in their Footsteps: Comparing Interest Parity Conditions in Central European Economies to the Euro Countries

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  • Kashif Mansori
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    Abstract

    This paper investigates capital market integration in the major Central European emerging economies by testing the covered and uncovered interest parity conditions vis-à-vis the U.S. dollar and the DM/euro. The results for the Central European economies since 1997 are contrasted against those of the euro countries during the period preceding the introduction of the euro. This allows a comparison of conditions in the capital markets in the Central European economies versus those in the pre-euro EU. The results suggest that capital mobility and exchange rate market efficiency in Central Europe are remarkably similar to conditions in the EU during the 1990s.

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    File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2003/wp-cesifo-2003-08/cesifo1_wp1020.pdf
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    Bibliographic Info

    Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 1020.

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    Date of creation: 2003
    Date of revision:
    Handle: RePEc:ces:ceswps:_1020

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    Related research

    Keywords: covered interest parity; uncovered interest parity; Central Europe; EU enlargement;

    This paper has been announced in the following NEP Reports:

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    1. Robert P. Flood & Andrew K. Rose, 1994. "Fixes: Of The Forward Discount Puzzle," NBER Working Papers 4928, National Bureau of Economic Research, Inc.
    2. Bansal, Ravi & Dahlquist, Magnus, 2000. "The forward premium puzzle: different tales from developed and emerging economies," Journal of International Economics, Elsevier, vol. 51(1), pages 115-144, June.
    3. Stijn Claessens & Daniel Oks & Rossana Polastri, 2000. "Capital Flows to Central and Eastern Europe and the Former Soviet Union," NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 299-339 National Bureau of Economic Research, Inc.
    4. Mark Holmes & Yangru Wu, 1997. "Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(1), pages 76-89, March.
    5. Holmes, Mark J., 2001. "Some new evidence on exchange rates, capital controls and European Union financial integration," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 135-146.
    6. Guy Meredith & Yue Ma, 2002. "The Forward Premium Puzzle Revisited," IMF Working Papers 02/28, International Monetary Fund.
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    Cited by:
    1. Jiang, Chun & Li, Xiao-Lin & Chang, Hsu-Ling & Su, Chi-Wei, 2013. "Uncovered interest parity and risk premium convergence in Central and Eastern European countries," Economic Modelling, Elsevier, vol. 33(C), pages 204-208.

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