British Interest Rate Convergence between the US and Europe : A RecursiveCointegration Analysis

This paper addresses the question of the British state of convergence towards the Euro area, compared to the USA. Economically, the analysis is based on dependences in the money and capital markets, namely the uncovered interest parity (UIP) and the expectation hypothesis of the term structure (EHT)...

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Authors:	Weber, Enzo
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Euro-Raum \| Zinsstruktur \| Term structure model

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Extent:	482304 bytes 21 p. application/pdf
Series:	Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers SFB 649 Discussion Paper ; 2006-005
Type of publication:	Book / Working Paper
Language:	English
Classification:	C32 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; Europe. General Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005854717