Additional Evidenceon Ems Interest Rate Linkages
Summary:
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.
Series:
Working Paper No. 1996/115
Subject:
Exchange rates Foreign exchange National accounts Return on investment
English
Publication Date:
October 1, 1996
ISBN/ISSN:
9781451942941/1018-5941
Stock No:
WPIEA1151996
Pages:
16
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