Emu and Long Interest Rates in Germany

40 Pages Posted: 15 Feb 2006

See all articles by Jeromin Zettelmeyer

Jeromin Zettelmeyer

Peter G. Peterson Institute for International Economics; CEPR

Date Written: December 1996


The presence of an "EMU premium" in German long rates is tested by examining the co-movement of German and other European yields, as well as the exchange rate of the private ECU, in reaction to EMU-related events. If German yields incorporate an "EMU premium" while other European currencies expect lower interest rates from EMU, then German and other European long yields should react in opposite directions to events affecting the probability of EMU. In fact, they typically react in the same direction. Similarly, events which lead to an appreciation of the private ECU are associated with a decline in German yields.

JEL Classification: E43, F33, E65

Suggested Citation

Zettelmeyer, Jeromin, Emu and Long Interest Rates in Germany (December 1996). IMF Working Paper, Vol. , pp. 1-40, 1996. Available at SSRN: https://ssrn.com/abstract=883029

Jeromin Zettelmeyer (Contact Author)

Peter G. Peterson Institute for International Economics ( email )

1750 Massachusetts Avenue, NW
Washington, DC 20036
United States

CEPR ( email )

United Kingdom

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