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Testing for Real Interest Rate Convergence in European Countries

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  • Stilianos Fountas
  • Jyh-lin Wu

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

Abstract

We use cointegration tests that determine endogenously the regime shift to test for bilateral short-term and long-term real interest rate convergence in the European Monetary System in the 1979--1993 period. The results of these tests provide strong evidence in favour of bilateral real interest rate convergence between Germany and several countries in our sample, particularly for long-term real interest rates. This result carries the important policy implication that in several European countries monetary policy has lost some of its effectiveness as a stabilisation policy tool.

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Bibliographic Info

Paper provided by National University of Ireland Galway, Department of Economics in its series Working Papers with number 24.

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Date of creation: 1998
Date of revision: 1998
Publication status: Published in the Scottish Journal of Political Economy, Vol. 46, No. 2, 1999
Handle: RePEc:nig:wpaper:0024

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