Additional Evidenceon Ems Interest Rate Linkages:
This note examines interest rate linkages within the EMS. Cointegration tests suggest the existence of a long-run equilibrium relationship between German and other EMS interest rates. Bivariate VAR analysis finds that Granger-causality either stems from German to other European interest rates (Belgi...
Gespeichert in:
1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
1996
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Schriftenreihe: | IMF Working Papers
Working Paper No. 96/115 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | This note examines interest rate linkages within the EMS. Cointegration tests suggest the existence of a long-run equilibrium relationship between German and other EMS interest rates. Bivariate VAR analysis finds that Granger-causality either stems from German to other European interest rates (Belgium, France, Spain, and the U.K.) or is bidirectional (Denmark and the Netherlands). When allowance is made for the influence of U.S. interest rates, the pattern of Granger causality is predominantly bidirectional |
Beschreibung: | 1 Online-Ressource (16 p) |
ISBN: | 145194294X 9781451942941 |
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spelling | Thornton, John Verfasser aut Additional Evidenceon Ems Interest Rate Linkages Thornton, John Washington, D.C International Monetary Fund 1996 1 Online-Ressource (16 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 96/115 This note examines interest rate linkages within the EMS. Cointegration tests suggest the existence of a long-run equilibrium relationship between German and other EMS interest rates. Bivariate VAR analysis finds that Granger-causality either stems from German to other European interest rates (Belgium, France, Spain, and the U.K.) or is bidirectional (Denmark and the Netherlands). When allowance is made for the influence of U.S. interest rates, the pattern of Granger causality is predominantly bidirectional Online-Ausg García-Herrero, Alicia Sonstige oth http://elibrary.imf.org/view/IMF001/00140-9781451942941/00140-9781451942941/00140-9781451942941.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Thornton, John Additional Evidenceon Ems Interest Rate Linkages |
title | Additional Evidenceon Ems Interest Rate Linkages |
title_auth | Additional Evidenceon Ems Interest Rate Linkages |
title_exact_search | Additional Evidenceon Ems Interest Rate Linkages |
title_exact_search_txtP | Additional Evidenceon Ems Interest Rate Linkages |
title_full | Additional Evidenceon Ems Interest Rate Linkages Thornton, John |
title_fullStr | Additional Evidenceon Ems Interest Rate Linkages Thornton, John |
title_full_unstemmed | Additional Evidenceon Ems Interest Rate Linkages Thornton, John |
title_short | Additional Evidenceon Ems Interest Rate Linkages |
title_sort | additional evidenceon ems interest rate linkages |
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