Long-Term Interest Rate Convergence in Europe and the Probability of EMU
AbstractUsing a simple method, based on forward interest spreads, we analyse the recent movements in the 10-year yield differentials between three currencies (Italian lira; Spanish peseta; Swedish krona) and the DM in order to gauge the extent to which the reduction in these differentials was due to market arbitrage triggered by the expectation of EMU or to more "fundamental" factors (lower inflationary expectations; improved fiscal outlook).
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Bibliographic InfoPaper provided by Banca Italia - Servizio di Studi in its series Papers with number 322.
Length: 31 pages
Date of creation: 1997
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MONETARY AREAS ; INTEREST RATE ; EUROPE;
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- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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