Series: IMF Working Papers
Author(s): John Thornton , and Alicia García-Herrero
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 October 1996
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...