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The Term Structure of Interest Rates and Financial Integration in the ERM

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  • Holmes, Mark J
  • Pentecost, Eric J

Abstract

In this paper we examine the relationship between the term structure of interest rates for six major European Union countries, to discover if the Exchange Rate Mechanism has lead to a converging of domestic term structures. We test this hypothesis using a model of international interest rate parity and three alternative econometric methods. We find that there is evidence of inter-dependence of domestic term structures implying that not only are European monetary polices converging but also that the appropriate model of the term structure is one with an explicit open economy dimension. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 2 (1997)
Issue (Month): 3 (July)
Pages: 237-47

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Handle: RePEc:ijf:ijfiec:v:2:y:1997:i:3:p:237-47

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Web page: http://www.interscience.wiley.com/jpages/1076-9307/

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Cited by:
  1. Minoas Koukouritakis & Leo Michelis, 2005. "Term Structure Linkages Among the New EU Countries and the EMU," Working Papers 0515, University of Crete, Department of Economics.
  2. Minoas Koukouritakis & Leo Michelis, 2006. "The Term Structure of Interest Rates in the European Union," Working Papers 0611, University of Crete, Department of Economics.
  3. Minoas Koukouritakis & Leo Michelis, 2005. "The Term Structures of Interest Rates in the New and Prospective EU Countries," Working Papers 0505, University of Crete, Department of Economics.
  4. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2011. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 679-689, October.

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