Additional Evidenceon Ems Interest Rate Linkages [electronic resource] / John Thornton.
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TextSeries: IMF Working Papers; Working Paper ; No. 96/115Publication details: Washington, D.C. : International Monetary Fund, 1996Description: 1 online resource (16 p.)ISBN: 145194294X :ISSN: 1018-5941Subject(s): Cointegration | Equation | Granger Causality | Interest Rates | Statistics | GermanyAdditional physical formats: Print Version:: Additional Evidenceon Ems Interest Rate LinkagesOnline resources: IMF e-Library | IMF Book Store Abstract: 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.
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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