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Additional Evidenceon Ems Interest Rate Linkages

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  • John Thornton
  • Alicia García-Herrero

Abstract

This note examines interest rate linkages within the EMS. Cointegration tests suggest the existence of a long-run equilibrium relationship between German and other EMS interest rates. Bivariate VAR analysis finds that Granger-causality either stems from German to other European interest rates (Belgium, France, Spain, and the U.K.) or is bidirectional (Denmark and the Netherlands). When allowance is made for the influence of U.S. interest rates, the pattern of Granger causality is predominantly bidirectional.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 96/115.

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Length: 16
Date of creation: 01 Oct 1996
Date of revision:
Handle: RePEc:imf:imfwpa:96/115

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Cited by:
  1. Bergin, Paul R. & Jorda, Oscar, 2004. "Measuring monetary policy interdependence," Journal of International Money and Finance, Elsevier, vol. 23(5), pages 761-783, September.
  2. Benoît Mojon, 1998. "Monetary Policy Under a Fixed Exchange Rate Regime, the Case of France 1987-1996," Working Papers 1998-14, CEPII research center.

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