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The comovements of the short interest rates in central and east european countries

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  • Martin Scheicher

Abstract

This paper analyses the short rates of emerging markets in Central and Eastern Europe. We first summarize the institutional framework of money and bond markets. In the empirical section we estimate both univariate and multivariate models. We collect the statistical behavior and discuss the volatility of the series. We then analyze the evidence for the existence of comovements with a number of alternative methods. In brief our main result is that the short rates in Prague, Warsaw and Budapest do not interact with the benchmark instantaneous rate in Germany.

Suggested Citation

  • Martin Scheicher, 2000. "The comovements of the short interest rates in central and east european countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2000(3).
    • Handle: RePEc:prg:jnlpep:v:2000:y:2000:i:3:id:82
    DOI: 10.18267/j.pep.82
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    Cited by:

    1. Habib, Maurizio Michael, 2002. "Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe," BOFIT Discussion Papers 7/2002, Bank of Finland, Institute for Economies in Transition.
    2. Bogdan Căpraru & Iulian Ihnatov, 2011. "The Effect Of Exchange Rate Arrangements On Transmission Of Interest Rates And Monetary Policy Independence: Evidence From A Group Of New Eu Member Countries "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 71-81, november.
    3. Maurizio Michael Habib, 2002. "Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe," International Finance 0209004, University Library of Munich, Germany.
    4. repec:zbw:bofitp:2002_007 is not listed on IDEAS

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