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Price Convergence of Periphical European Countries on the Way to the EMU: A Time Series Approach

Author

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  • Camarero, M.
  • Esteve, V.
  • Tamarit, C.

Abstract

This paper examines price and inflation convergence between three European countries (Italy, Spain and the UK) and a European idiosyncratic average and, alternatively, between them and Germany since the beginning of the 80's.

Suggested Citation

  • Camarero, M. & Esteve, V. & Tamarit, C., 1996. "Price Convergence of Periphical European Countries on the Way to the EMU: A Time Series Approach," Weiss Center Working Papers 96-2, Wharton School - Weiss Center for International Financial Research.
  • Handle: RePEc:fth:pennif:96-2
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    References listed on IDEAS

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    1. Robert P. Flood & Peter M. Garber, 1991. "The Linkage Between Speculative Attack and Target Zone Models of Exchange Rates," The Quarterly Journal of Economics, Oxford University Press, vol. 106(4), pages 1367-1372.
    2. Delgado, F. & Dumas, B., 1990. "Monetary Contracting Between Central Banks And The Design Of Sustainable Exchange-Rate Zones," Weiss Center Working Papers 20-90, Wharton School - Weiss Center for International Financial Research.
    3. Svensson, Lars E. O., 1991. "Target zones and interest rate variability," Journal of International Economics, Elsevier, pages 27-54.
    4. Francisco Delgado & Bernard Dumas, 1990. "Monetary Contracting Between Central Banks and the Design of SustainableExchange-Rate Zones," NBER Working Papers 3440, National Bureau of Economic Research, Inc.
    5. Obstfeld, Maurice & Stockman, Alan C., 1985. "Exchange-rate dynamics," Handbook of International Economics,in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 18, pages 917-977 Elsevier.
    6. Giuseppe Bertola & Lars E. O. Svensson, 1993. "Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models," Review of Economic Studies, Oxford University Press, vol. 60(3), pages 689-712.
    7. Eduardo R. Borensztein & Michael P. Dooley, 1987. "Options on Foreign Exchange and Exchange Rate Expectations," IMF Staff Papers, Palgrave Macmillan, vol. 34(4), pages 643-680, December.
    8. Lindberg, H. & Soderlind, P., 1991. "Testing the Basic Target Zone Model on Swedish Data," Papers 488, Stockholm - International Economic Studies.
    9. Paul R. Krugman, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, Oxford University Press, vol. 106(3), pages 669-682.
    10. Flood, Robert P. & Rose, Andrew K. & Mathieson, Donald J., 1991. "An empirical exploration of exchange-rate target-zones," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 35(1), pages 7-65, January.
    11. Dumas, Bernard & Peter Jennergren, L. & Naslund, Bertil, 1995. "Realignment risk and currency option pricing in target zones," European Economic Review, Elsevier, vol. 39(8), pages 1523-1544, October.
    12. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
    13. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    14. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    15. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
    16. Lindbecg, H. Soderlind, P., 1992. "Target Zone Models and the Intervention Policy; The Swedish Case," Papers 496, Stockholm - International Economic Studies.
    17. Bernard Dumas & Lars Peter Jennergren & Bertil Näslund, 1992. "Realignment risk and currency option pricing in target zones," Working Papers hal-00611598, HAL.
    18. Francisco Delgado & Bernard Dumas, "undated". "Monetary Contracting between Central Banks and the Design of Sustainable Exchange-Rate Zones (Reprint 035)," Rodney L. White Center for Financial Research Working Papers 20-90, Wharton School Rodney L. White Center for Financial Research.
    19. Bodurtha, James N. & Courtadon, Georges R., 1987. "Tests of an American Option Pricing Model on the Foreign Currency Options Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 153-167, June.
    20. Delgado, F. & Dumas, B., 1990. "Monetary Contracting Between Central Banks And The Design Of Sustainable Exchange-Rate Zones," The Warwick Economics Research Paper Series (TWERPS) 360, University of Warwick, Department of Economics.
    21. Paul Krugman & Marcus Miller, 1992. "Exchange Rate Targets and Currency Bands," NBER Books, National Bureau of Economic Research, Inc, number krug92-1, January.
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    Citations

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    Cited by:

    1. Salvador Gil-Pareja & Simon Sosvilla-Rivero, 2007. "Price convergence in the European car market," Applied Economics, Taylor & Francis Journals, vol. 40(2), pages 241-250.
    2. Salvador Gil-Pareja & Simón Sosvilla-Rivero, 2004. "Export market integration in the European Union," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 271-301, November.
    3. Georgios P. Kouretas & Mark E. Wohar, 2012. "The dynamics of inflation: a study of a large number of countries," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
    4. Hiranya Nath & Kiril Tochkov, 2011. "Relative Inflation in the EU Accession Countries of Central and Eastern Europe," Working Papers 201105, Texas Christian University, Department of Economics.
    5. Guerreiro, David & Mignon, Valérie, 2013. "On price convergence in Eurozone," Economic Modelling, Elsevier, pages 42-51.
    6. Çiçek, Serkan & Akar, Cüneyt, 2013. "The asymmetry of inflation adjustment in Turkey," Economic Modelling, Elsevier, vol. 31(C), pages 104-118.
    7. Jan Bentzen & Tor Eriksson & Valdemar Smith, 2001. "Alcohol Consumption in European Countries Time series based tests of convergence," Cahiers d'Economie et Sociologie Rurales, INRA Department of Economics, vol. 60, pages 59-74.
    8. Dixit, Avinash, 2001. "Games of monetary and fiscal interactions in the EMU," European Economic Review, Elsevier, vol. 45(4-6), pages 589-613, May.
    9. Bulir, Ales & Hurnik, Jaromir, 2006. "The Maastricht inflation criterion: How unpleasant is purgatory?," Economic Systems, Elsevier, vol. 30(4), pages 385-404, December.
    10. Bentzen, Jan, 2003. "An empirical analysis of gasoline price convergence for 20 OECD countries," Working Papers 03-19, University of Aarhus, Aarhus School of Business, Department of Economics.
    11. Ales Bulir & Jaromir Hurnik, 2006. "The Maastricht Inflation Criterion: "Saints" and "Sinners"," Working Papers 2006/8, Czech National Bank, Research Department.
    12. Hiranya Nath & Kiril Tochkov, 2013. "Relative inflation dynamics in the new EU member countries of Central and Eastern Europe," Empirical Economics, Springer, pages 1-22.
    13. Chien-Chiang Lee & Chun-Ping Chang, 2007. "Mean reversion of inflation rates in 19 OECD countries: Evidence from panel Lm unit root tests with structural breaks," Economics Bulletin, AccessEcon, vol. 3(23), pages 1-15.
    14. Bentzen, Jan & Smith, Valdemar, 2003. "Regional income convergence in the Scandinavian countries," Working Papers 03-20, University of Aarhus, Aarhus School of Business, Department of Economics.
    15. repec:ebl:ecbull:v:3:y:2007:i:23:p:1-15 is not listed on IDEAS
    16. Tsong, Ching-Chuan & Lee, Cheng-Feng, 2011. "Asymmetric inflation dynamics: Evidence from quantile regression analysis," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 668-680.
    17. Robert Garnett & Lisa Vanderlinden, 2011. "Reflexive Pedagogy: Disciplinary Idioms as Resources for Teaching," Working Papers 201106, Texas Christian University, Department of Economics.
    18. Consuelo Gámez Amián & Amalia Morales Zumaquero., 2002. "Complete or Partial Inflation Convergence in the EU?," Economic Working Papers at Centro de Estudios Andaluces E2002/09, Centro de Estudios Andaluces.
    19. Lee, Chien-Chiang & Chang, Chun-Ping, 2009. "Stochastic convergence of per capita carbon dioxide emissions and multiple structural breaks in OECD countries," Economic Modelling, Elsevier, vol. 26(6), pages 1375-1381, November.

    More about this item

    Keywords

    TIME SERIES; EUROPE; EUROPEAN COMMUNITIES; ECONOMIC INTEGRATION; PRICES;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F15 - International Economics - - Trade - - - Economic Integration
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe

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