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Long-Term Interest Rate Convergence in Europe and the Probability of EMU

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Author Info
Angeloni, I.
Violi, R.

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Abstract

Using 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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Publisher Info
Paper provided by Banca Italia - Servizio di Studi in its series Papers with number 322.

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Length: 31 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:banita:322

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Postal: Banca d'Italia-Servizio Studi-Divisione Biblioteca e Pubblicazioni - Via N azionale, 91 -00184 Rome, Italy.
Web page: http://www.bancaditalia.it/
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Related research
Keywords: MONETARY AREAS ; INTEREST RATE ; EUROPE;

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Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

Cited by:
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  1. Alberto Baffigi & Marcello Pagnini & Fabio Quintiliani, 1999. "Industrial District and Local Banks: Do the Twins Ever Meet?," Temi di discussione (Economic working papers) 347, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  2. Livio Stracca, . "Economics and Politics: Interest Rate Convergence in Europe and EMU," Discussion Papers in European Economics 99/6, Department of Economics, University of Leicester. [Downloadable!]
  3. Martin Cincibuch & Martina Hornikova, 2007. "Measuring the Financial Markets' Perception of EMU Enlargement: The Role of Ambiguity Aversion," Working Papers 2007/13, Czech National Bank, Research Department. [Downloadable!]
    Other versions:
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This page was last updated on 2009-10-24.

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