Long-run interest rate convergence in Poland and the EMU

Lukasz Goczek and Dagmara Mycielska

No 2013-21, Working Papers from Faculty of Economic Sciences, University of Warsaw

Abstract: The aim of the article is to examine the degree of the long-run interest rate convergence in the context of Poland's joining the EMU. In this perspective, it is frequently argued that the expectations of Poland's participation in the EMU should manifest themselves in long-run interest rate convergence. This should be visible in the long-run fall of interest rate risk premium in Poland. In contrast, the paper raises the question of the actual speed of such convergence and questions the existence of this phenomenon in Poland. Confirmation of the hypothesis concerning slow convergence in the risk premium is essential to the analysis of costs of the Polish accession to the EMU. The main hypothesis of the article is verified using a Vector Error-Correction Mechanism model of an Uncovered Interest Rate Parity and several parametric hypotheses concerning the speed and asymmetry of adjustment.

Keywords: empirical analysis; Eurozone; interest rate convergence; monetary union (search for similar items in EconPapers)
JEL-codes: C32 E43 E52 E58 F41 F42 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2013
New Economics Papers: this item is included in nep-eec, nep-mac, nep-mon, nep-opm and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP106.pdf First version, 2013 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:war:wpaper:2013-21

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