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International linkages in the term structure of interest rates

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  • Clemens J.M. Kool
  • John A. Tatom

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Bibliographic Info

Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (1988)
Issue (Month): Jul ()
Pages: 30-43

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Handle: RePEc:fip:fedlrv:y:1988:i:jul:p:30-43

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Keywords: Interest rates ; Banks and banking; International;

References

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  1. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
  2. Robert E. Cumby & Maurice Obstfeld, 1984. "International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence," NBER Chapters, in: Exchange Rate Theory and Practice, pages 121-152 National Bureau of Economic Research, Inc.
  3. Campbell, John Y. & Clarida, Richard H., 1987. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," Scholarly Articles 3353759, Harvard University Department of Economics.
  4. Reuven Glick, 1987. "Interest rate linkages in the Pacific Basin," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 31-42.
  5. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-38, April.
  6. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Cowles Foundation Discussion Papers 667, Cowles Foundation for Research in Economics, Yale University.
  7. N. Gregory Mankiw, 1986. "The Term Structure of Interest Rates Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 17(1), pages 61-110.
  8. N. Gregory Mankiw & Lawrence H. Summers, 1987. "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?," NBER Working Papers 1345, National Bureau of Economic Research, Inc.
  9. Llad Phillips & John Pippenger, 1976. "Preferred habitat vs. efficient market: a test of alternative hypotheses," Review, Federal Reserve Bank of St. Louis, issue May, pages 11-19.
  10. Kirchgassner, Gebhard & Wolters, Jurgen, 1987. "U.S.-European Interest Rate Linkage: A Time Series Analysis for West Germany, Switzerland, and the United States," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 675-84, November.
  11. Joseph Bisignano, 1983. "Monetary policy regimes and international term structures of interest rates," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 7-26.
  12. Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1190-1219, December.
  13. Joseph Bisignano, 1983. "Monetary policy regimes and international term structures of interest rates," Working Papers in Applied Economic Theory 83-02, Federal Reserve Bank of San Francisco.
  14. Krol, Robert, 1986. "The interdependence of the term structure of eurocurrency interest rates," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 245-253, June.
  15. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  16. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-99, September.
  17. C. Alan Garner, 1987. "The yield curve and inflation expectations," Economic Review, Federal Reserve Bank of Kansas City, issue Sep, pages 3-15.
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Cited by:
  1. Heinz Gluck & Dieter Proske & John A. Tatom, 1992. "Monetary and exchange rate policy in Austria: an early example of policy coordination," Working Papers 1992-005, Federal Reserve Bank of St. Louis.
  2. Hafer, R. W. & Kutan, Ali M. & Su Zhou, 1997. "Linkage in EMS term structures: evidence from common trend and transitory components," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 595-607, August.
  3. Carol L. Osler, 1989. "Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis: A Theoretical Investigation," NBER Working Papers 3060, National Bureau of Economic Research, Inc.

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