Please use this identifier to cite or link to this item:
http://hdl.handle.net/10174/16629
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Title: | Revisiting Covered Interest Parity in the European Union: the DCCA Approach |
Authors: | Ferreira, Paulo Dionísio, Andreia |
Keywords: | financial integration euro DCCA common currency |
Issue Date: | 22-Sep-2015 |
Publisher: | Routledge |
Citation: | Ferreira, P., A. Dionísio, (2015), "Revisiting covered interest parity in the European Union: the DCCA approach", International Economic Journal, 29(4), 597-615. |
Abstract: | This paper analyzes the evidence of financial integration, with covered
interest parity (CIP), for a group of countries that have already adopted the euro
and another group of countries that kept their currencies. We use detrended crosscorrelation
analysis, which allows analyzing the behavior of time series even when they
are not stationary. The main results indicate that countries that adopted the euro do not
show much evidence in favor of CIP, before joining the Eurozone, which could imply
they will not benefit from all common currency advantages. In the group of countries
that did not adopt the euro, Denmark, Sweden, the UK and the Czech Republic are
the ones presenting better conditions for financial integration with the euro, while Bulgaria
has also some evidence of this. Some possible explanations of CIP deviations are
agents not considering all countries’ assets as similar and also the underdevelopment of
markets and liquidity problems (more pronounced due to periods of turmoil). |
URI: | http://dx.doi.org/10.1080/10168737.2015.1081260 http://hdl.handle.net/10174/16629 |
Type: | article |
Appears in Collections: | GES - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
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