Monetary Convergence And Risk Premiums In The EU Candidate Countries
AbstractThis study examines the link between various monetary policy regimes and the ability to manage inflation and exchange rate risk premiums in the EU candidate countries as they undergo monetary convergence to the eurozone. The underlying hypothesis is that a system of 'flexible inflation targeting' may be an optimal policy choice for managing these two categories of risk. A model of inflation and exchange rate risk premiums within the context of inflation targeting is proposed. Recent trends in these risk premiums in Hungary, the Czech Republic and Poland are tested by using the GARCH(1,1) methodology.
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Bibliographic InfoPaper provided by EconWPA in its series Macroeconomics with number 0501037.
Length: 36 pages
Date of creation: 31 Jan 2005
Date of revision:
Note: Type of Document - pdf; pages: 36
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inflation risk premium; exchange rate risk premium; inflation targeting; monetary convergence; transition economies;
Other versions of this item:
- Orlowski, Lucjan T., 2002. "Monetary convergence and risk premiums in the EU candidate countries," ZEI Working Papers B 26-2002, ZEI - Center for European Integration Studies, University of Bonn.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- P33 - Economic Systems - - Socialist Institutions and Their Transitions - - - International Trade, Finance, Investment, Relations, and Aid
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-CBA-2005-04-16 (Central Banking)
- NEP-IFN-2005-04-16 (International Finance)
- NEP-MAC-2005-04-16 (Macroeconomics)
- NEP-MON-2005-04-16 (Monetary Economics)
- NEP-RMG-2005-04-16 (Risk Management)
- NEP-TRA-2005-04-16 (Transition Economics)
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