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Tests for Interest Rate Convergence and Structural Breaks in the EMS

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  • Stilianos Fountas
  • Jyh-lin Wu

    (Department of Economics, National University of Ireland, Galway)

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    Abstract

    We use a new test for cointegration that allows for structural breaks in the cointegrating relationship to test for bilateral interest rate convergence in the European Monetary System. Contrary to previous studies that employed standard cointegration tests, we find strong evidence for convergence between German nominal interest rates and interest rates in four other EMS countries in the 1979-1995 period.

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    File Function: First version, 1997
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    File Function: Revised version, 1997
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    Bibliographic Info

    Paper provided by National University of Ireland Galway, Department of Economics in its series Working Papers with number 15.

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    Date of creation: 1997
    Date of revision: 1997
    Publication status: Published in Applied Financial Economics, Vol. 8, No. 1, 1998
    Handle: RePEc:nig:wpaper:0015

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