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The share of European economies in the process of convergence of long-term interest rates in the EU in the period of 2006–2016


  • Elzbieta Szulc

    () (Nicolaus Copernicus University)

  • Karolina Gorna

    () (Nicolaus Copernicus University)

  • Dagna Wleklinska

    () (Nicolaus Copernicus University)


The paper refers to convergence of interest rates of ten-year government bonds emitted by EU countries. It is an attempt to assess the participation of particular economies in this process using the so-called vertical convergence. The primary tools of analysis were panel data models with fixed effects, including models that consider the links among economies, quantified by using a distance matrix between indicators of fiscal stability comprehended as the share of public debt in GDP. The analysis was conducted for the 27 members of the EU in the period between January 2006 and November 2016.

Suggested Citation

  • Elzbieta Szulc & Karolina Gorna & Dagna Wleklinska, 2016. "The share of European economies in the process of convergence of long-term interest rates in the EU in the period of 2006–2016," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 165-187.
  • Handle: RePEc:cpn:umkdem:v:16:y:2016:p:165-187

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    References listed on IDEAS

    1. Marco Pagano, 2004. "The European Bond Markets under EMU," Oxford Review of Economic Policy, Oxford University Press, vol. 20(4), pages 531-554, Winter.
    2. Elzbieta Szulc & Dagna Wleklinska & Karolina Gorna & Joanna Gorna, 2014. "The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 14, pages 125-144.
    3. Willem H. Buiter, 2006. "The 'Sense and Nonsense of Maastricht' Revisited: What Have we Learnt about Stabilization in EMU?," Journal of Common Market Studies, Wiley Blackwell, vol. 44, pages 687-710, November.
    4. Catharina Klepsch & Timo Wollmershäuser, 2011. "Yield spreads on EMU government bonds — How the financial crisis has helped investors to rediscover risk," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 46(3), pages 169-176, June.
    5. Elzbieta Szulc & Dagna Wleklinska, 2015. "Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 5-26.
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    More about this item


    long term interest rates; process of convergence; fiscal stability; panel data models; matrix of economic connections;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects


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