Bond Yield Compression in the Countries Converging to the Euro
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Cited by:
- Lucjan T Orlowski & Anna Tsibulina, 2014. "Integration of Central and Eastern European and the Euro-Area Financial Markets: Repercussions from the Global Financial Crisis," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 56(3), pages 376-395, September.
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- Hubert Gabrisch & Lucjan T. Orlowski, 2010.
"Interest Rate Convergence in Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(6), pages 69-85, November.
- Gabrisch, Hurbert & Orlowski, Lucjan, 2009. "Interest Rate Convergence in the Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields," Working Papers 2009001, Sacred Heart University, John F. Welch College of Business.
- Orlowski, Lucjan T. & Rybinski, Krzysztof, 2006.
"Implications of ERM2 for Poland's monetary policy,"
Economic Systems, Elsevier, vol. 30(4), pages 346-365, December.
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- Avadanei, Andreea, 2010. "Dinamica integrarii pietelor europene de obligatiuni [The dynamic of European bond markets' integration]," MPRA Paper 31300, University Library of Munich, Germany.
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- Wohlmann, Monika, 2015. "Finanzmarktintegration in Mittelosteuropa: Eine empirische Analyse der integrativen Wirkung des Euro," Arbeitspapiere der FOM 55, FOM Hochschule für Oekonomie & Management.
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More about this item
Keywords
term spread; term premium; yield compression; monetary convergence; new Member States; EMU; conditional volatility; asymmetric GARCH models;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2006-06-10 (Central Banking)
- NEP-EEC-2006-06-10 (European Economics)
- NEP-FMK-2006-06-10 (Financial Markets)
- NEP-MAC-2006-06-10 (Macroeconomics)
- NEP-MON-2006-06-10 (Monetary Economics)
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