Please use this identifier to cite or link to this item:

Title: Revisiting Covered Interest Parity in the European Union: the DCCA Approach
Authors: Ferreira, Paulo
Dionísio, Andreia
Keywords: financial integration
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).
Type: article
Appears in Collections:GES - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

Files in This Item:

File Description SizeFormat
International Economic Journal, revisiting CIP.pdf1.44 MBAdobe PDFView/Open
FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpaceOrkut
Formato BibTex mendeley Endnote Logotipo do DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.


Dspace Dspace
DSpace Software, version 1.6.2 Copyright © 2002-2008 MIT and Hewlett-Packard - Feedback
UEvora B-On Curriculum DeGois