International convergence of capital market interest rates
AbstractThis article investigates the extent of capital market interest rate convergence among six EU countries on the one hand, and a group of four countries with floating exchange rates - US, Germany, Japan and Switzerland - on the other. We conclude that interest rate changes within the EU have been and still are converging gradually since 1980. Within the group of free-float currencies, the increase in convergence occurred abruptly around 1980, after which the extent of convergence remained roughly constant. Moreover, the presumed higher influence of US long-term interest rates on the level of German interest rates could not be detected.
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Bibliographic InfoPaper provided by Netherlands Central Bank, Research Department in its series WO Research Memoranda (discontinued) with number 519.
Date of creation: 1997
Date of revision:
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- Klaas Knot & Jan Marc Berk, 1999.
"Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations,"
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- J.M. Berk & K.H.W. Knot, 1999. "Co-Movements in Long-Term Interest Rates and the Role of PPP-BasedExchange Rate Expectations," DNB Staff Reports (discontinued) 37, Netherlands Central Bank.
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- Frank A. G. Den Butter & Pieter Jansen, 2004.
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- Butter, Frank A.G. den & Jansen, Pieter W., 2001. "An empirical analysis of the German long-term interest rate," Serie Research Memoranda 0029, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
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