The Share of European Economies in the Process of Convergence of Long-term Interest Rates in the EU in the Period of 2006–2016
Journal Title: Dynamic Econometric Models - Year 2016, Vol 16, Issue
Abstract
The paper refers to the process of convergence of interest rates of ten-year government bonds emitted by EU countries. It is an attempt to assess the participation of particular European economies in this process. The primary tools of analysis were panel models with fixed effects, including models that consider the links among economies, which are quantified by using a distance matrix between indicators of fiscal stability comprehended as the share of public debt in GDP. The idea of the so-called vertical convergence was used. The analysis was conducted on the basis of pooled time series and cross-sectional data for the 27 members of the EU in the period between January 2006 and November 2016.
Authors and Affiliations
Elzbieta Szulc, Karolina Górna, Dagna Wleklińska
Keywords
Related Articles
- EP ID EP197297
- DOI 10.12775/11858
- Views 100
- Downloads 0
Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland
This paper empirically investigates various approaches to model time-varying systematic risk on the Polish capital market. A plenty of methods is examined in the developed markets and the Kalman filter approach is usuall...
Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
Elliptical distributions commonly applied to modeling the returns of stocks in high-dimensional portfolio are not capable of adequate describing the dependence between the components when their statistical properties are...
Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets
This article presents the analysis of the contagion effect in the capital markets on the basis of the Markov switching models MS. The research is based on the return of the indexes. There is a distinction of two regimes...
The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes
In the paper we argue that a general formula for the unconditional kurtosis of sign-switching GARCH(p,q,k) processes proposed by Thavaneswaran and Appadoo (2006) does not give correct results. To show that we revised the...
Sovereign CDS Instruments in Central Europe – Linkages and Interdependence
In the article, linkages among sovereign CDS instruments in Central Europe are investigated. Special attention is paid to the change of causality patterns during the Hungarian and Greek crises. The results of the researc...