Real convergence and regime-switching among EU accession countries

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dc.contributor.authorHolmes, Mark J.
dc.contributor.authorWang, Ping
dc.date.accessioned2011-06-27T00:00:49Z
dc.date.available2011-06-27T00:00:49Z
dc.date.issued2008
dc.description.abstractReal convergence among the ten EU 2004 accession economies is investigated with respect to long-run real interest parity. We employ a novel approach where unit-root tests for real interest differentials are embedded within a Markov regime-switching framework. Whereas standard univariate unit-root tests provide mixed support for parity, we find parity is present in all cases where differentials either switch between regimes of stationary and non-stationarity behaviour, or between alternative regimes of stationarity characterized by differing degrees of persistence. Further insights are obtained from the inferred probabilities of being in each regime, and the regime-switching nature of the differential variances.en_NZ
dc.format.mimetypeapplication/pdf
dc.identifier.citationHolmes, M.J. & Want, P. (2008). Real convergence and regime-switching among EU accession countries. South-Eastern Europe Journal of Economics, 6(1), 9-27.en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/5423
dc.language.isoen
dc.publisherUniversity of Macedonia Pressen_NZ
dc.relation.isPartOfSouth-Eastern Europe Journal of Economicsen_NZ
dc.relation.urihttp://www.asecu.gr/Seeje/issue10/holmes.pdfen_NZ
dc.rightsThis article has been published in the journal: South-Eastern Europe Journal of Economics. Used with permission.en_NZ
dc.subjectreal interest parityen_NZ
dc.subjectstationarityen_NZ
dc.subjectMarkov regime-switchingen_NZ
dc.titleReal convergence and regime-switching among EU accession countriesen_NZ
dc.typeJournal Articleen_NZ
pubs.begin-page9en_NZ
pubs.elements-id32963
pubs.end-page27en_NZ
pubs.issue1en_NZ
pubs.volume6en_NZ
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