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Rate Convergence in the Euro-Candidate Countries : Volatility Dynamics of Sovereign Bond Yields
| Content Provider | Semantic Scholar |
|---|---|
| Author | Welch, Jack Gabrisch, Hubert Orlowski, Lucjan Orlowski, Lucjan T. |
| Copyright Year | 2016 |
| Abstract | We advocate a dynamic approach to monetary convergence to a common currency that is based on the analysis of financial system stability. Accordingly, we test empirically volatility dynamics of the ten-year sovereign bond yields of the 2004 EU accession countries in relation to the eurozone yields during the January 2, 2001January 22, 2009 sample period. Our results show a varied degree of bond yield co-movements, the most pronounced for the Czech Republic, Slovenia and Poland, and weaker for Hungary and Slovakia. However, since the EU accession, we find some divergence of relative bond yields. We argue that a ‘static’ specification of the Maastricht criterion for long-term bond yields is not fully conducive for advancing stability of financial systems in the euro-candidate countries. JEL Classification: E44, F36. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://digitalcommons.sacredheart.edu/cgi/viewcontent.cgi?article=1002&context=wcob_wp&httpsredir=1&referer= |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Accession number (bioinformatics) Euro currency European Union Money Movement Specification Volatility |
| Content Type | Text |
| Resource Type | Article |
