Additional Evidenceon Ems Interest Rate Linkages

Thornton, John

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

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Year of publication:	1996
Authors:	Thornton, John
Other Persons:	García Herrero, Alicia (contributor) ; Thornton, John (contributor)
Publisher:	Washington, D.C : International Monetary Fund
Subject:	Zins \| Interest rate \| EU-Staaten \| EU countries \| Währungsunion \| Monetary union \| Zinsstruktur \| Yield curve \| Zinsparität \| Interest rate parity