Additional Evidenceon Ems Interest Rate Linkages
October 1, 1996
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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.
Subject: Exchange rates, Foreign exchange, National accounts, Return on investment
Keywords: Ems country interest rates, Ems interest rate linkage, Ems interest rate movement, Ems interest rates, EMS interest rates, Exchange rates, Granger-causality test, interest rate, interest rate series, Return on investment, WP
Pages:
16
Volume:
1996
DOI:
Issue:
115
Series:
Working Paper No. 1996/115
Stock No:
WPIEA1151996
ISBN:
9781451942941
ISSN:
1018-5941
