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U.S.-European Interest Rate Linkage: A Time Series Analysis for West Germany, Switzerland, and the United States

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  • Kirchgassner, Gebhard
  • Wolters, Jurgen

Abstract

The authors investigate whether there was an international linkage of interest rates between the United States, West Germany, and Switzerland during the period of flexible exchange rates, 1974-84. Euro-market rates and bond-market rates are considered during the two subperiods of falling and increasing U.S. Dollar/DM exchange rates, 1974 to 1978 and 1979 to 1984. Spectral analysis and Granger causality tests are applied and trivariate autoregressive models are estimated. It is shown that a strong linkage exists during the second period, but during the first subperiod there was no, or only a weakly-pronounced, linkage. Copyright 1987 by MIT Press.

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Bibliographic Info

Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 69 (1987)
Issue (Month): 4 (November)
Pages: 675-84

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Handle: RePEc:tpr:restat:v:69:y:1987:i:4:p:675-84

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Web page: http://mitpress.mit.edu/journals/

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Cited by:
  1. Bruneau, Catherine & Jondeau, Eric, 1999. " Long-Run Causality, with an Application to International Links between Long-Term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-68, November.
  2. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2013. "Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds," Hannover Economic Papers (HEP) dp-517, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  3. Selover, David D. & Round, David K., 1996. "Business cycle transmission and interdependence between Japan and Australia," Journal of Asian Economics, Elsevier, vol. 7(4), pages 569-602.
  4. Clemens J.M. Kool & John A. Tatom, 1988. "International linkages in the term structure of interest rates," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 30-43.
  5. Gerd Hansen, 1996. "The domestic term structure and international interest rate linkages: A cointegration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 132(4), pages 675-689, December.
  6. Jian Yang, 2005. "Government bond market linkages: evidence from Europe," Applied Financial Economics, Taylor & Francis Journals, vol. 15(9), pages 599-610.

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