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Towards Monetary Integration: Testing Covered Interest Rate Parity Among Non-EMU Countries – Dynamic OLS Approach (CROSBI ID 639179)

Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija

Kordić, Gordana ; Nakić, Martina ; Budimir, Ivan Towards Monetary Integration: Testing Covered Interest Rate Parity Among Non-EMU Countries – Dynamic OLS Approach // 8th International Conference „An Enterprise Odyssey: Saving the Sinking Ship Through Human Capital“ / Galetić, L. ; Načinović Braje, I., Jaković, B (ur.). Zagreb: Ekonomski fakultet Sveučilišta u Zagrebu, 2016. str. 587-594

Podaci o odgovornosti

Kordić, Gordana ; Nakić, Martina ; Budimir, Ivan

engleski

Towards Monetary Integration: Testing Covered Interest Rate Parity Among Non-EMU Countries – Dynamic OLS Approach

Covered interest rate parity (CIP) is one of the fundamentals of international capital markets effectiveness, assuming perfect capital mobility. This paper investigates validation of CIP on a sample of non-EMU members, using dynamic OLS approach. The sample consists of EU member countries that are still outside the monetary union, namely Poland, Hungary, Czech Republic, Romania, Croatia, Sweden and United Kingdom, within a time span covering 2002-2015. Monetary integration requires abandoning of capital controls, allowing free capital flows that make CIP an important indicator of the union’s efficiency. The analysis taken has found evidence on (weak) CIP only in the case of Hungary, while for other countries there is no statistical support (using dynamic OLS) for the CIP, although the estimated parameters were close to 0 and 1. However, one should be careful in interpreting these results in context of EMU entrance as CIP is only one of the required conditions. So, although according to CIP rejection these countries should not enter EMU soon, other aspects of monetary integration should be evaluated to get stronger conclusions.

covered interest rate parity (CIP); monetary integration; dynamic OLS

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Podaci o prilogu

587-594.

2016.

objavljeno

Podaci o matičnoj publikaciji

8th International Conference „An Enterprise Odyssey: Saving the Sinking Ship Through Human Capital“

Galetić, L. ; Načinović Braje, I., Jaković, B

Zagreb: Ekonomski fakultet Sveučilišta u Zagrebu

978-953-346-027-7

Podaci o skupu

8th International Conference "An Enterprise Odyssey: Saving the Sinking SHip Through Human Capital

predavanje

08.06.2016-11.06.2016

Zagreb, Hrvatska

Povezanost rada

Ekonomija