Tests for interest rate convergence and structural breaks in the EMS: further analysis

Mariam Camarero, Javier Ordóñez, Cecilio Tamarit

Research output: Contribution to journalArticle

17 Citations (Scopus)

Abstract

In this paper the linkages existing between the interest rates within the European Union countries are assessed, to discover if the Exchange Rate Mechanism has led to a converging process. This hypothesis is tested using the uncovered interest rate parity relative to the Maastricht Treaty’s interest rate criterion. The obtained results allow classification of the European countries from the point of view of the degree of convergence already achieved. The techniques used are unit roots, allowing for endogenously determined changes in the deterministic trends of the data, as well as the Kalman filter, which permits the convergence path of the series to be followed.
Original languageEnglish
Pages (from-to)447-456
Number of pages10
JournalApplied Financial Economics
Volume12
Issue number6
DOIs
Publication statusPublished - 2002

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Interest rates
Structural breaks
Exchange rate mechanism
Linkage
Kalman filter
Maastricht Treaty
Parity
Unit root
European countries
Deterministic trend

Cite this

Tests for interest rate convergence and structural breaks in the EMS: further analysis. / Camarero, Mariam; Ordóñez, Javier; Tamarit, Cecilio.

In: Applied Financial Economics, Vol. 12, No. 6, 2002, p. 447-456.

Research output: Contribution to journalArticle

Camarero, Mariam ; Ordóñez, Javier ; Tamarit, Cecilio. / Tests for interest rate convergence and structural breaks in the EMS: further analysis. In: Applied Financial Economics. 2002 ; Vol. 12, No. 6. pp. 447-456.
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