Interactions between US and UK interest rates and news spillovers: the impact of the EMU
AbstractThis paper studies interactions between UK and US interest rates. We determine how interest rates’ means and volatilities react to key economic/financial news. We analyse the integration of the American and British economies by studying spillover and feedback effects between rates and news spillovers. The factors that account for the most variations in interest rates are, for both countries, monetary policy decisions, price levels and unemployment. Moreover, the reaction of UK (resp. US) interest rates to US variables declined (resp. increased) in recent years. This can gain sense if one takes into account the emergence of the EMU as a new economic power.
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Bibliographic InfoArticle provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.
Volume (Year): 52 (2009)
Issue (Month): 1 ()
Interest rates; News spillovers; Multivariate GARCH; United States; United Kingdom; Euro area;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- F30 - International Economics - - International Finance - - - General
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