Measuring Convergence of the New Member Countries’ Exchange Rates to the Euro
AbstractWe propose a common factor approach to analyse convergence, which we implement using principal components analysis. This technique has not been used to analyse convergence of time series but is shown to provide a useful new tool. We show how it is in many ways a more natural way of approaching the convergence debate. We apply these ideas to a dataset of bilateral Euro and US-Dollar exchange rates of the new member countries of the European Union. Our empirical application gives sensible results about the convergence process of the new member countries’ exchange rates to the Euro.
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Bibliographic InfoPaper provided by Department of Economics, University of Leicester in its series Discussion Papers in Economics with number 09/2.
Date of creation: Jan 2009
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Other versions of this item:
- Becker, Bettina & Hall, Stephen, 2007. "Measuring convergence of the new member countries’ exchange rates to the euro," Journal of Financial Transformation, Capco Institute, vol. 19, pages 20-25.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-31 (All new papers)
- NEP-CBA-2009-01-31 (Central Banking)
- NEP-EEC-2009-01-31 (European Economics)
- NEP-IFN-2009-01-31 (International Finance)
- NEP-TRA-2009-01-31 (Transition Economics)
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- Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2013. "Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover dp-517, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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