The process of convergence towards the euro for the Visegrad-4 countries
The aim of the paper is to analyze the foreign transmission mechanism between each of the Visegrad-4 countries and the eurozone, through an empirical analysis of the basic international parity conditions linking Czech, Hungarian, Polish and Slovakian inflations and interest rates with the ones of the current euro area members. The focus of the analysis is to show the differences among these catching-up economies, with particular attention to their process of convergence towards the eurozone economy. For reasons due to the availability of data, the sample covers the last decade. We use the cointegrated VAR model to define longrun stationary relations as well as common stochastic trends. The methodology adopted is properly apt to uncover the dynamic structure underlying the stochastic behaviour of prices, interest rates and exchange rate. Of particular interest is the empirical finding that the parities do not hold on their own, as expected, but that weaker form of the same parities, or linear combinations of them, hold in our data set, with some differences for each country. Also the process of convergence is different: the Czech Republic seems to have reached a relative convergence, while for the other countries we have that the process show a tendency towards convergence.
|Date of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Postal: Via Inama 5, 38100 Trento|
Web page: http://www.unitn.it/deco
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Balazs Egert & Ronald MacDonald, 2006.
"Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable,"
CESifo Working Paper Series
1739, CESifo Group Munich.
- Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable," MNB Working Papers 2006/5, Magyar Nemzeti Bank (Central Bank of Hungary).
- MacDonald, Ronald, 1993.
"Long-Run Purchasing Power Parity: Is It for Real?,"
The Review of Economics and Statistics,
MIT Press, vol. 75(4), pages 690-95, November.
- Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679, December.
- Kevin D. Hoover & Soren Johansen & Katarina Juselius, 2008.
"Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression,"
American Economic Review,
American Economic Association, vol. 98(2), pages 251-55, May.
- Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," Discussion Papers 07-35, University of Copenhagen. Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:trn:utwpde:0825. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Luciano Andreozzi)
If references are entirely missing, you can add them using this form.