Fractional cointegration analysis of EU convergence
Traditional cointegration tests do not provide strong evidence of convergence between EU countries. In this study, fractional cointegration analysis is used to test for convergence between EU members. Fractional cointegration between inflation and between long-term interest rates is found. The results indicate that there is nominal convergence, but that the equilibrium errors display long memory. Fractional cointegration analysis gives no evidence of real convergence in output.
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Volume (Year): 36 (2004)
Issue (Month): 14 ()
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References listed on IDEAS
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- P. S. Sephton, 2002. "Fractional cointegration: Monte Carlo estimates of critical values, with an application," Applied Financial Economics, Taylor & Francis Journals, vol. 12(5), pages 331-335.
- Haug, Alfred A. & MacKinnon, James G. & Michelis, Leo, 2000. "European Monetary Union: a cointegration analysis," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 419-432, June.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- 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.
- Karfakis, Costas J & Moschos, Demetrios M, 1990.
"Interest Rate Linkages within the European Monetary System: A Time Series Analysis,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 22(3), pages 389-394, August.
- 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.
- repec:syd:wpaper:144 is not listed on IDEAS
- 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.
- Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-112, January. Full references (including those not matched with items on IDEAS)
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