|
Holmes, M. J. Real convergence and regime-switching among EU accession countries [Text] [Текст] / M. J. Holmes, P. Wang // South-Eastern Europe Journal of Economics (SEEJE). – Thessaloniki : University of Macedonia Press, 2008. – Vol. 6, № 1. – P. 9-27.
Real convergence among the ten EU 2004 accession economies is investigated with respect to long-run real interest parity. We employ a novel approach where unitroot tests for real interest differentials are embedded within a Markov regimeswitching framework. Whereas standard univariate unit-root tests provide mixed support for parity, we find parity is present in all cases where differentials either switch between regimes of stationary and non-stationarity behavior, or between alternative regimes of stationarity characterized by differing degrees of persistence. Further insights are obtained from the inferred probabilities of being in each regime, and the regime-switching nature of the differential variances.
|