کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5102612 | 1480087 | 2017 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions
ترجمه فارسی عنوان
چه چیزی در مورد شرایط تقسیم سود متعلق به اتحادیه اروپا جدید است؟ شواهد از رگرسیون های همبستگی فراکتال
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کلمات کلیدی
تقسیم سود متعادل، تجزیه و تحلیل همبستگی متقابل، تجزیه و تحلیل میانگین همبستگی متقاطع متحرک، یکپارچگی مالی،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
We analyse the covered interest parity (CIP) using two novel regression frameworks based on cross-correlation analysis (detrended cross-correlation analysis and detrending moving-average cross-correlation analysis), which allow for studying the relationships at different scales and work well under non-stationarity and heavy tails. CIP is a measure of capital mobility commonly used to analyse financial integration, which remains an interesting feature of study in the context of the European Union. The importance of this features is related to the fact that the adoption of a common currency is associated with some benefits for countries, but also involves some risks such as the loss of economic instruments to face possible asymmetric shocks. While studying the Eurozone members could explain some problems in the common currency, studying the non-Euro countries is important to analyse if they are fit to take the possible benefits. Our results point to the CIP verification mainly in the Central European countries while in the remaining countries, the verification of the parity is only residual.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 486, 15 November 2017, Pages 554-566
Journal: Physica A: Statistical Mechanics and its Applications - Volume 486, 15 November 2017, Pages 554-566
نویسندگان
Paulo Ferreira, Ladislav Kristoufek,