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Additional Evidenceon Ems Interest Rate Linkages

Additional Evidenceon Ems Interest Rate Linkages »

Source: Additional Evidenceon Ems Interest Rate Linkages

Volume/Issue: 1996/115

Series: IMF Working Papers

Author(s): John Thornton , and Alicia García-Herrero

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1996

ISBN: 9781451942941

Keywords: interest rates, cointegration, statistics, granger causality, equation

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 t...

Additional Evidenceon Ems Interest Rate Linkages

Additional Evidenceon Ems Interest Rate Linkages »

Volume/Issue: 1996/115

Series: IMF Working Papers

Author(s): John Thornton , and Alicia García-Herrero

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1996

DOI: http://dx.doi.org/10.5089/9781451942941.001

ISBN: 9781451942941

Keywords: interest rates, cointegration, statistics, granger causality, equation

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 t...