English, Article, Journal or magazine article edition: A Dynamic Approach to Interest Rate Convergence in Selected Euro-candidate Countries Hubert Gabrisch; Lucjan T. Orlowski

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Bookmark: http://trove.nla.gov.au/version/32600
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Dynamic Approach to Interest Rate Convergence in Selected Euro-candidate Countries
Author
  • Hubert Gabrisch
  • Lucjan T. Orlowski
Physical Description
  • preprint
Notes
  • We advocate a dynamic approach to monetary convergence to a common currency that is based on the analysis of financial system stability. Accordingly, we empirically test volatility dynamics of the ten-year sovereign bond yields of the 2004 EU accession countries in relation to the eurozone yields during the January 2, 2001 untill January 22, 2009 sample period. Our results show a varied degree of bond yield co-movements, the most pronounced for the Czech Republic, Slovenia and Poland, and weaker for Hungary and Slovakia. However, since the EU accession, we find some divergence of relative bond yields. We argue that a ‘static’ specification of the Maastricht criterion for long-term bond yields is not fully conducive for advancing stability of financial systems in the euro-candidate countries.
  • interest rate convergence, common currency area, new EU Member States, interest rate risk, GARCH
  • RePEc:iwh:dispap:10-09
Language
  • English
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