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Interactions between US and UK interest rates and news spillovers: the impact of the EMU

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  • Yves Kuhry
  • Sukriye Tuysuz

Abstract

This 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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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/80757/1/4ARTICLE%20KUHRY-TUYSUZ%20REV%20OK.pdf
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Bibliographic Info

Article provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.

Volume (Year): 52 (2009)
Issue (Month): 1 ()
Pages: 79-99

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Handle: RePEc:bxr:bxrceb:2013/80757

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Related research

Keywords: Interest rates; News spillovers; Multivariate GARCH; United States; United Kingdom; Euro area;

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