Tests for interest rate convergence and structural breaks in the EMS

We use a new test for cointegration that allows for structural breaks in the cointegrating relationship to test for bilateral interest rate convergence in the European Monetary System. Contrary to previous studies that employed standard cointegration tests, we find strong evidence for convergence between German nominal interest rates and interest rates in four other EMS countries in the 1979-1995 period.

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Year of publication:	1998
Authors:	Fountas, Stilianos ; Wu, Jyh-Lin
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 8.1998, 2, p. 127-132
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009206948