期刊名称：IWH Diskussionspapiere / Institut für Wirtschaftsforschung Halle
出版年度：2009
卷号：2009
期号：2
出版社：Institut für Wirtschaftsforschung Halle
摘要：We advocate a dynamic approach to monetary convergence to a common currency that
is based on the analysis of financial system stability. Accordingly, we empirically test
volatility dynamics of the ten-year sovereign bond yields of the 2004 EU accession
countries in relation to the eurozone yields during the January 2, 2001 until January 22,
2009 sample period. Our results show a varied degree of bond yield co-movements, the
most pronounced for the Czech Republic, Slovenia and Poland, and weaker for Hungary
and Slovakia. However, since the EU accession, we find some divergence of relative
bond yields. We argue that a ‘static’ specification of the Maastricht criterion for long-
term bond yields is not fully conducive for advancing stability of financial systems in
the euro-candidate countries.
关键词：interest rate convergence, common currency area, new EU Member States,
interest rate risk, GARCH
