What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00478811" target="_blank" >RIV/67985556:_____/17:00478811 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1016/j.physa.2017.05.085" target="_blank" >http://dx.doi.org/10.1016/j.physa.2017.05.085</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2017.05.085" target="_blank" >10.1016/j.physa.2017.05.085</a>

Result language

angličtina

Original language name

What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions

Original language description

We analyse the covered interest parity (CIP) using two novel regression frameworks based on cross-correlation analysis (detrended cross-correlation analysis and detrending moving-average cross-correlation analysis), which allow for studying the relationships at different scales and work well under non-stationarity and heavy tails. CIP is a measure of capital mobility commonly used to analyse financial integration, which remains an interesting feature of study in the context of the European Union. The importance of this features is related to the fact that the adoption of a common currency is associated with some benefits for countries, but also involves some risks such as the loss of economic instruments to face possible asymmetric shocks. While studying the Eurozone members could explain some problems in the common currency, studying the non-Euro countries is important to analyse if they are fit to take the possible benefits. Our results point to the CIP verification mainly in the Central European countries while in the remaining countries, the verification of the parity is only residual.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50202 - Applied Economics, Econometrics

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Physica. A : Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Volume of the periodical

486

Issue of the periodical within the volume

1

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

13

Pages from-to

554-566

UT code for WoS article

000406988000045

EID of the result in the Scopus database

2-s2.0-85020537676