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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...

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Bibliographic Details
Main Author: Thornton, John
Other Authors: García-Herrero, Alicia
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1996
Series:IMF Working Papers
Subjects:
Investment
Return On Investment
Currency
Intangible Capital
National Accounts
Foreign Exchange
International Policy Coordination And Transmission
Saving And Investment
Investments: General
Macroeconomics
Capacity
Exchange Rates
Capital
Germany
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:16 pages
ISBN:9781451942941

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