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Long-run interest rate convergence in Poland and the EMU

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Author Info

  • Łukasz Goczek

    ()
    (Faculty of Economic Sciences, University of Warsaw)

  • Dagmara Mycielska

    ()
    (Faculty of Economic Sciences, University of Warsaw)

Abstract

The aim of the article is to examine the degree of the long-run interest rate convergence in the context of Poland's joining the EMU. In this perspective, it is frequently argued that the expectations of Poland's participation in the EMU should manifest themselves in long-run interest rate convergence. This should be visible in the long-run fall of interest rate risk premium in Poland. In contrast, the paper raises the question of the actual speed of such convergence and questions the existence of this phenomenon in Poland. Confirmation of the hypothesis concerning slow convergence in the risk premium is essential to the analysis of costs of the Polish accession to the EMU. The main hypothesis of the article is verified using a Vector Error-Correction Mechanism model of an Uncovered Interest Rate Parity and several parametric hypotheses concerning the speed and asymmetry of adjustment.

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File URL: http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP106.pdf
File Function: First version, 2013
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Bibliographic Info

Paper provided by Faculty of Economic Sciences, University of Warsaw in its series Working Papers with number 2013-21.

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Length: 13 pages
Date of creation: 2013
Date of revision:
Handle: RePEc:war:wpaper:2013-21

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Keywords: empirical analysis; Eurozone; interest rate convergence; monetary union;

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  1. Łukasz Goczek & Dagmara Mycielska, 2013. "Ready for euro? Empirical study of the actual monetary policy independence in Poland," Working Papers 2013-13, Faculty of Economic Sciences, University of Warsaw.
  2. J James Reade & Ulrich Volz, 2010. "Too Much to Lose, or More to Gain? Should Sweden Join the Euro?," Discussion Papers 10-13, Department of Economics, University of Birmingham.
  3. J. James Reade & Ulrich Volz, 2009. "Leader of the Pack? German Monetary Dominance in Europe Prior to EMU," Economics Series Working Papers 419, University of Oxford, Department of Economics.
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Cited by:
  1. Łukasz Goczek & Dagmara Mycielska, 2013. "Ready for euro? Empirical study of the actual monetary policy independence in Poland," Working Papers 2013-13, Faculty of Economic Sciences, University of Warsaw.

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