IDEAS home Printed from https://ideas.repec.org/p/zbw/bubdp1/4202.html
   My bibliography  Save this paper

Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finanzsektors

Author

Listed:
  • Herrmann, Sabine
  • Jochem, Axel

Abstract

Basierend auf dem Konzept der gedeckten Zinsparität wird gezeigt, dass die Geldmärkte in Polen, der Tschechischen Republik, Ungarn und der Slowakei inzwischen einen hohen Grad an internationaler Integration mit dem Euro-Raum aufweisen. Die Integration hat sich im Untersuchungszeitraum von 1999 bis Mitte 2002 kontinuierlich verstärkt. Für die noch zu beobachtende Segmentierung sind sowohl Beschränkungen des kurzfristigen Kapitalverkehrs als auch die geringe Entwicklung der Finanzsektoren in den Beitrittsländern verantwortlich. Während Kapitalverkehrskontrollen inzwischen fast vollständig abgebaut sind und nach einem EU-Beitritt keine Rolle mehr spielen werden, könnte innerhalb des Eurosystems die Implementierung und Transmission der gemeinsamen Geldpolitik beeinträchtigt werden, wenn die Finanzsektoren in Mittel- und Osteuropa noch unterentwickelt sind.

Suggested Citation

  • Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finanzsek," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdp1:4202
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/19593/1/200307dkp.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, April.
    2. Bent E. Sørensen & Oved Yosha, 1996. "Income and Consumption Smoothing among US States: Regions or Clubs?," Discussion Papers 96-13, University of Copenhagen. Department of Economics.
    3. Otto, Glenn & Wirjanto, Tony, 1989. "National Savings and Domestic Investment in the Long Run: Some Time Series Evidence for the U.S. and Canada," Queen's Institute for Economic Research Discussion Papers 275218, Queen's University - Department of Economics.
    4. Rockinger, Michael & Urga, Giovanni, 2001. "A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 73-84, January.
    5. Aliber, Robert Z, 1973. "The Interest Rate Parity Theorem: A Reinterpretation," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1451-1459, Nov.-Dec..
    6. A. Bhargava & L. Franzini & W. Narendranathan, 2006. "Serial Correlation and the Fixed Effects Model," World Scientific Book Chapters, in: Econometrics, Statistics And Computational Approaches In Food And Health Sciences, chapter 4, pages 61-77, World Scientific Publishing Co. Pte. Ltd..
    7. Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, vol. 51(1), pages 153-174, January.
    8. Colm Kearney, 1996. "International financial integration: Measurement and policy implications," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 1(3), pages 347-364.
    9. Javier Santillán & Marc Bayle & Christian Thygesen, 2000. "The impact of the euro on money and bond markets," Occasional Paper Series 1, European Central Bank.
    10. Ross Levine & Norman Loayza & Thorsten Beck, 2002. "Financial Intermediation and Growth: Causality and Causes," Central Banking, Analysis, and Economic Policies Book Series, in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 2, pages 031-084, Central Bank of Chile.
    11. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    12. Gikas A. Hardouvelis & Dimitrios Malliaropulos & Richard Priestley, 2006. "EMU and European Stock Market Integration," The Journal of Business, University of Chicago Press, vol. 79(1), pages 365-392, January.
    13. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
    14. Morris Goldstein & Michael Mussa, 1993. "The integration of world capital markets," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 245-330.
    15. Murphy, Robert G., 1984. "Capital mobility and the relationship between saving and investment rates in OECD countries," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 327-342, December.
    16. Dumas, Bernard & Solnik, Bruno, 1995. "The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-479, June.
    17. Glenn Otto & Tony S. Wirjanto, 1989. "National Savings and Domestic Investment in the Long Run: Some Time Series Evidence for the U.S. and Canada," Working Paper 754, Economics Department, Queen's University.
    18. Santillán, Javier & Bayle, Marc & Thygesen, Christian, 2000. "The impact of the euro on money and bond markets," Occasional Paper Series 1, European Central Bank.
    19. Feldstein, Martin & Horioka, Charles, 1980. "Domestic Saving and International Capital Flows," Economic Journal, Royal Economic Society, vol. 90(358), pages 314-329, June.
    20. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
    21. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
    22. Chen, Zhiwu & Knez, Peter J, 1995. "Measurement of Market Integration and Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 287-325.
    23. Rogoff, Kenneth, 1985. "Can exchange rate predictability be achieved without monetary convergence? : Evidence from the EMS," European Economic Review, Elsevier, vol. 28(1-2), pages 93-115.
    24. Lemmen, J.J.G. & Eijffinger, S.C.W., 1994. "The price approach to financial integration : Decomposing European money market interest rate differentials," Other publications TiSEM 3c847fd9-2466-400c-aa8f-f, Tilburg University, School of Economics and Management.
    25. Tamim Bayoumi & Ronald Macdonald, 1995. "Consumption, Income, and International Capital Market Integration," IMF Staff Papers, Palgrave Macmillan, vol. 42(3), pages 552-576, September.
    26. Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-193, July.
    27. Schmidt-Hebbel, Klaus & Serven, Luis & Solimano, Andres, 1996. "Saving and Investment: Paradigms, Puzzles, Policies," The World Bank Research Observer, World Bank, vol. 11(1), pages 87-117, February.
    28. Maurice Obstfeld., 1993. "Are Industrial-Country Consumption Risks Globally Diversified?," Center for International and Development Economics Research (CIDER) Working Papers C93-014, University of California at Berkeley.
    29. Fletcher, Donna J. & Taylor, Larry W., 1994. "A non-parametric analysis of covered interest parity in long-date capital markets," Journal of International Money and Finance, Elsevier, vol. 13(4), pages 459-475, August.
    30. Gabriele Galati & Kostas Tsatsaronis, 2003. "The impact of the euro on Europe's financial markets," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 12(3), pages 165-222, August.
    31. Ms. Nancy L Wagner & Ms. Dora M Iakova, 2001. "Financial Sector Evolution in the Central European Economies: Challenges in Supporting Macroeconomic Stability and Sustainable Growth," IMF Working Papers 2001/141, International Monetary Fund.
    32. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    33. Mark Holmes & Yangru Wu, 1997. "Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(1), pages 76-89, March.
    34. Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, vol. 3(1), pages 69-83, March.
    35. Lemmen, J.J.G. & Eijffinger, S.C.W., 1995. "The fundamental determinants of financial integration in the European Union," Other publications TiSEM 0090a2e9-4071-45da-9fca-b, Tilburg University, School of Economics and Management.
    36. Jan J.G. Lemmen, 1998. "Integrating Financial Markets in the European Union," Books, Edward Elgar Publishing, number 1399.
    37. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien," Discussion Paper Series 1: Economic Studies 2003,08, Deutsche Bundesbank.
    38. Obstfeld, Maurice, 1986. "Capital mobility in the world economy: Theory and measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 24(1), pages 55-103, January.
    39. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    40. Juan Ayuso & Roberto Blanco, 1999. "Has Financial Market Integration Increased during the Nineties?," Working Papers 9923, Banco de España.
    41. Brunner, Karl & Meltzer, Allan H., 1986. "The national bureau method, International capital mobility, and other essays," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 24(1), pages 1-10, January.
    42. Popper, Helen, 1993. "Long-term covered interest parity: evidence from currency swaps," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 439-448, August.
    43. Quinn, Dennis, 1997. "The Correlates of Change in International Financial Regulation," American Political Science Review, Cambridge University Press, vol. 91(3), pages 531-551, September.
    44. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    45. Marston, Richard C., 1976. "Interest arbitrage in the Euro-currency markets," European Economic Review, Elsevier, vol. 7(1), pages 1-13.
    46. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(1), pages 1-21, March.
    47. Takezawa, Nobuya, 1995. "Currency swaps and long-term covered interest parity," Economics Letters, Elsevier, vol. 49(2), pages 181-185, August.
    48. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
    49. Judson, Ruth A. & Owen, Ann L., 1999. "Estimating dynamic panel data models: a guide for macroeconomists," Economics Letters, Elsevier, vol. 65(1), pages 9-15, October.
    50. Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-1056, September.
    51. Baltagi, Badi H. & Wu, Ping X., 1999. "Unequally Spaced Panel Data Regressions With Ar(1) Disturbances," Econometric Theory, Cambridge University Press, vol. 15(6), pages 814-823, December.
    52. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien," Discussion Paper Series 1: Economic Studies 2003,08, Deutsche Bundesbank.
    2. Hella Engerer, 2005. "Bankenlandschaft Europa: Eigentum, Wettbewerb und Integration," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 74(4), pages 12-31.
    3. repec:got:cegedp:55 is not listed on IDEAS
    4. Brandmeier, Michael, 2006. "Reasons for real appreciation in Central Europe," University of Göttingen Working Papers in Economics 55, University of Goettingen, Department of Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jochem, Axel & Herrmann, Sabine, 2003. "The international integration of money markets in the central and east European accession countries: deviations from covered interest parity, capital controls and inefficiencies in the financial secto," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank.
    2. Heinemann, Friedrich & Schüler, Martin, 2002. "How integrated are the European retail financial markets? A cointegration analysis," ZEW Discussion Papers 02-22, ZEW - Leibniz Centre for European Economic Research.
    3. Daniel Levy, 1995. "Investment-saving comovement under endogenous fiscal policy," Open Economies Review, Springer, vol. 6(3), pages 237-254, July.
    4. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien," Discussion Paper Series 1: Economic Studies 2003,08, Deutsche Bundesbank.
    5. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5.
    6. Hannes Winner, 2005. "Has Tax Competition Emerged in OECD Countries? Evidence from Panel Data," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 12(5), pages 667-687, September.
    7. de Brouwer,Gordon, 1999. "Financial Integration in East Asia," Cambridge Books, Cambridge University Press, number 9780521651486, January.
    8. Jan Lemmen & Sylvester Eijffinger, 1995. "The quantity approach to financial integration: The Feldstein-Horioka criterion revisited," Open Economies Review, Springer, vol. 6(2), pages 145-165, April.
    9. Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004.
    10. Levy, Daniel, 2000. "Investment-Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 3(1), pages 100-136.
    11. Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
    12. Singh, Tarlok, 2008. "Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators," Economic Modelling, Elsevier, vol. 25(5), pages 1064-1079, September.
    13. Tesar, Linda L., 1995. "Evaluating the gains from international risksharing," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 95-143, June.
    14. Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
    15. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May.
    16. Buch, Claudia M., 2001. "Cross-Border Banking and Transmission Mechanisms: The Case of Europe," Kiel Working Papers 1063, Kiel Institute for the World Economy (IfW Kiel).
    17. Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
    18. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.
    19. Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," The Institute for International Integration Studies Discussion Paper Series iiisdp067, IIIS.
    20. Pagano, Marco & Jappelli, Tullio, 2008. "Financial Market Integration Under EMU," CEPR Discussion Papers 7091, C.E.P.R. Discussion Papers.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:bubdp1:4202. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/dbbgvde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.