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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název periodika

Physica. A : Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Svazek periodika

486

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

13

Strana od-do

554-566

Kód UT WoS článku

000406988000045

EID výsledku v databázi Scopus

2-s2.0-85020537676