The share of European economies in the process of convergence of long-term interest rates in the EU in the period of 2006–2016

Elzbieta Szulc (), Karolina Gorna () and Dagna Wleklinska ()
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Elzbieta Szulc: Nicolaus Copernicus University
Karolina Gorna: Nicolaus Copernicus University
Dagna Wleklinska: Nicolaus Copernicus University

Dynamic Econometric Models, 2016, vol. 16, 165-187

Abstract: The paper refers to convergence of interest rates of ten-year government bonds emitted by EU countries. It is an attempt to assess the participation of particular economies in this process using the so-called vertical convergence. The primary tools of analysis were panel data models with fixed effects, including models that consider the links among economies, quantified by using a distance matrix between indicators of fiscal stability comprehended as the share of public debt in GDP. The analysis was conducted for the 27 members of the EU in the period between January 2006 and November 2016.

Keywords: long term interest rates; process of convergence; fiscal stability; panel data models; matrix of economic connections (search for similar items in EconPapers)
JEL-codes: C10 C23 C58 E43 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:16:y:2016:p:165-187

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