Details

Autor(en) / Beteiligte

• Gabrisch, Hubert
• Orlowski, Lucjan T.

Titel

Interest Rate Convergence in Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields

Ist Teil von

• Emerging markets finance & trade, 2010-11, Vol.46 (6), p.69-85

Ort / Verlag

Abingdon: Routledge

Erscheinungsjahr

2010

Quelle

Business Source Ultimate

Beschreibungen/Notizen

• We argue that a "static" specification of the Maastricht criterion for long-term bond yields is not conducive to assessing stability of financial systems in euro-candidate countries. Instead, we advocate a dynamic approach to assessing interest rate convergence to a common currency that is based on the analysis of financial system stability. Accordingly, we empirically test 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, 2001-January 22, 2009, sample period. Our results show a varied degree of the relationship between domestic and eurozone sovereign bond yields, the most pronounced for the Czech Republic, Slovenia, and Poland, and weaker for Hungary and Slovakia. We find some divergence of relative bond yields since the EU accession.