Thornton, John.
Additional Evidenceon Ems Interest Rate Linkages John Thornton. [electronic resource] / John Thornton. - Washington, D.C. : International Monetary Fund, 1996. - 1 online resource (16 p.) - IMF Working Papers; Working Paper ; No. 96/115 . - IMF Working Papers; Working Paper ; No. 96/115 .
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.
145194294X : 15.00 USD
1018-5941
10.5089/9781451942941.001 doi
Cointegration
Equation
Granger Causality
Interest Rates
Statistics
Germany
Additional Evidenceon Ems Interest Rate Linkages John Thornton. [electronic resource] / John Thornton. - Washington, D.C. : International Monetary Fund, 1996. - 1 online resource (16 p.) - IMF Working Papers; Working Paper ; No. 96/115 . - IMF Working Papers; Working Paper ; No. 96/115 .
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.
145194294X : 15.00 USD
1018-5941
10.5089/9781451942941.001 doi
Cointegration
Equation
Granger Causality
Interest Rates
Statistics
Germany