TY  - BOOK
AU  - Thornton,John
AU  - García-Herrero,Alicia
AU  - Thornton,John
TI  - Additional Evidenceon Ems Interest Rate Linkages
T2  - IMF Working Papers; Working Paper
SN  - 145194294X :
SN  - 1018-5941
PY  - 1996///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Cointegration
KW  - imf
KW  - Equation
KW  - Granger Causality
KW  - Interest Rates
KW  - Statistics
KW  - Germany
N2  - 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
UR  - http://elibrary.imf.org/view/IMF001/00140-9781451942941/00140-9781451942941/00140-9781451942941.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451942941
ER  -