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Monetary policy convergence of potential EMU accession countries: A cointegration analysis with shifting regimes

  • Kasman, Adnan
  • Kirbas-Kasman, Saadet
  • Turgutlu, Evrim
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    No abstract is available for this item.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0264-9993(07)00086-7
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    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 25 (2008)
    Issue (Month): 2 (March)
    Pages: 340-350

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    Handle: RePEc:eee:ecmode:v:25:y:2008:i:2:p:340-350
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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    1. Karfakis, C. J. & Moschos, D.M., 1990. "Interest Rate Linkages Within the European Monetary System: A Time Series Analysis," Working Papers 144, University of Sydney, School of Economics.
    2. Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
    3. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
    4. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
    5. Oliver Holtemöller, 2005. "Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries," International Economics and Economic Policy, Springer, vol. 2(1), pages 33-63, 06.
    6. Katsimbris, George M & Miller, Stephen M, 1993. "Interest Rate Linkages within the European Monetary System: Further Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 771-79, November.
    7. Lemmen, J.J.G. & Eijffinger, S.C.W., 1993. "The degree of financial integration in the European Community," Other publications TiSEM 1d5446e8-2580-40dc-aee9-5, Tilburg University, School of Economics and Management.
    8. Kocenda, Evzen & Kutan, Ali M. & Yigit, Taner M., 2006. "Pilgrims to the Eurozone: How far, how fast?," Economic Systems, Elsevier, vol. 30(4), pages 311-327, December.
    9. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
    10. Stilianos Fountas & Jyh-Lin Wu, 1998. "Tests for interest rate convergence and structural breaks in the EMS," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 127-132.
    11. Mali J. Edison & Linda S. Kole, 1995. "European monetary arrangements: Implications for the dollar, exchange rate variability and credibility," European Financial Management, European Financial Management Association, vol. 1(1), pages 61-86.
    12. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    13. Mariam Camarero & Javier Ordon Ez & Cecilio Tamarit, 2002. "Tests for interest rate convergence and structural breaks in the EMS: further analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 12(6), pages 447-456.
    14. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-20, July.
    15. Brada, Josef C. & Ktan, Ali M., 2001. "The convergence of monetary policy between candidate countries and the European Union," ZEI Working Papers B 07-2001, University of Bonn, ZEI - Center for European Integration Studies.
    16. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    17. Sander, Harald & Kleimeier, Stefanie, 2006. "Convergence of interest rate pass-through in a wider euro zone?," Economic Systems, Elsevier, vol. 30(4), pages 405-423, December.
    18. repec:syd:wpaper:144 is not listed on IDEAS
    19. Brada, Josef C. & Kutan, Ali M. & Zhou, Su, 2005. "Real and monetary convergence between the European Union's core and recent member countries: A rolling cointegration approach," Journal of Banking & Finance, Elsevier, vol. 29(1), pages 249-270, January.
    20. Frankel, Jeffrey A, 1992. "Measuring International Capital Mobility: A Review," American Economic Review, American Economic Association, vol. 82(2), pages 197-202, May.
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