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European Monetary Union: A Cointegration Analysis
| Citations: | 22 - 1 self |
BibTeX
@MISC{Haug_europeanmonetary,
author = {Alfred A. Haug and James G. Mackinnon and Kl N and Leo Michelis},
title = {European Monetary Union: A Cointegration Analysis},
year = {}
}
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Abstract
This paper employs systems-based cointegration techniques developed by Johansen (1988, 1995) to determine which European Union countries would form a successful Economic and Monetary Union (EMU), based on long-run behavior of the nominal convergence criteria laid down in the Maastricht treaty. The original 12 European Union countries are analyzed together. Nominal exchange rates, real exchange rates, longterm interest rates, and government budget deficits are each analyzed for co-movements among the 12 countries and various subgroups of them. The results suggest that not all of the 12 original countries of the European Union could possibly form a successful EMU over time, unless several countries made significant adjustments.
Keyphrases
cointegration analysis european monetary union european union country longterm interest rate various subgroup systems-based cointegration technique several country nominal exchange rate significant adjustment nominal convergence criterion successful economic long-run behavior maastricht treaty real exchange rate original country monetary union successful emu european union government budget deficit
