期刊名称：South-Eastern Europe Journal of Economics (SEEJE)
印刷版ISSN：1109-8597
电子版ISSN：1792-3115
出版年度：2008
卷号：6
期号：1
出版社：Association of Economic Universities of South and Eastern Europe and the Black Sea Region
摘要：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
