Long-Term Interest Rate Convergence in Europe and the Probability of EMU

Using a simple method, based on forward interest spreads, we analyse the recent movements in the 10-year yield differentials between three currencies (Italian lira; Spanish peseta; Swedish krona) and the DM in order to gauge the extent to which the reduction in these differentials was due to market arbitrage triggered by the expectation of EMU or to more "fundamental" factors (lower inflationary expectations; improved fiscal outlook).

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Year of publication:	1997
Authors:	Angeloni, I. ; Violi, R.
Institutions:	Banca d'Italia
Subject:	MONETARY AREAS \| INTEREST RATE \| EUROPE

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Series:	Banca Italia - Servizio di Studi.
Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

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