Download This PaperAdditional Evidence on EMS Interest Rate Linkages
16 Pages Posted: 15 Feb 2006
Date Written: October 1996
Abstract
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.
JEL Classification: F31, F42
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
By James W. Kolari and Ali Anari
-
Testing an Augmented Fisher Hypothesis for Money Market Interest Rates in Finland
-
Efficiency of the Tokyo Housing Market
By Takatoshi Ito and Keiko Nosse Hirono
-
A Modern Look at Asset Pricing and Short-Term Interest Rates
By Martin Evans and Paul Wachtel
-
Can Stocks Hedge Against Inflation in the Long Run: Evidence from Ghana Stock Market
By Anokye M. Adam and Siaw Frimpong
-
Characteristics and Macroeconomic Drivers of House Price Changes in Australia
By Max Neukirchen and Helen Lange