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Is Eastern Europe ready for the Euro? A Cointegration Analysis for the Maastricht Criteria

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Author Info
I.S. Meister
Abstract

This report documents the results of cointegration analyses of the degree of convergence which the economies of the central-eastern european countries (CEECs) have achieved towards the economies of the EMU countries. This cointegration technique is applied to several of the core variables that are important with respect to the Maastricht criteria, namely: inflation, the exchange rate, and the long-term interest rate. The main conclusion that can be drawn from this cointegration analysis is that most of the countries in the first group entering the EU have achieved a considerable degree of convergence for most (but not all) of these EMU criteria variables considered. The countries in the second group of countries to enter the EU in the more distant future, turn out to be lagging behind in the convergence process.

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Paper provided by Netherlands Central Bank, Research Department in its series WO Research Memoranda (discontinued) with number 699.

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Date of creation: 2002
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Handle: RePEc:dnb:wormem:699

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Related research
Keywords: Cointegration Convergence EMU

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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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. Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    Other versions:
  2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Haug, Alfred A. & MacKinnon, James G. & Michelis, Leo, 2000. "European Monetary Union: a cointegration analysis," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 419-432, June. [Downloadable!] (restricted)
  4. Cushman, David O. & Sang Sub Lee & Thorgeirsson, Thorsteinn, 1996. "Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 337-368, June. [Downloadable!] (restricted)
  5. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  6. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233. [Downloadable!] (restricted)
  7. Halpern, Laìszloì & Nemeìnyi, Judit, 2002. "Fiscal Foundation of Convergence to European Union in Pre-Accession Transition Countries," Discussion Paper Series 1: Economic Studies 2002,03, Deutsche Bundesbank, Research Centre. [Downloadable!]
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