Interest Rate Convergence in the Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields
Hubert Gabrisch and
Lucjan Orlowski
No 2009001, Working Papers from Sacred Heart University, John F. Welch College of Business
Abstract:
We advocate a dynamic approach to monetary convergence to a common currency that is based on the analysis of financial system stability. Accordingly, we test empirically 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- 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.
Keywords: interest rate convergence; common currency area; new EU Member States; interest rate risk; GARCH (search for similar items in EconPapers)
JEL-codes: E44 F36 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2009-04
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)
Downloads: (external link)
http://repec.sacredheart.edu/she/pdf/wp2009_001.pdf First version, 2009 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Related works:
Journal Article: Interest Rate Convergence in Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:she:wpaper:2009001
Access Statistics for this paper
More papers in Working Papers from Sacred Heart University, John F. Welch College of Business Contact information at EDIRC.
Bibliographic data for series maintained by Dr. Khawaja Mamun ().