International Linkages in Short- and Long-Term Interest Rates
This paper examines interest rate linkages in the G7 economies by testing for cointegration and employing the causality testing method for unstable systems recently introduced by Toda and Yamamoto (1995), which results in standard asymptotics. The results show that whilst domestic macroeconomic variables are important determinants of long-term interest rates, international linkages play a major role in the case of short-term rates. We also find that causation within the ERM runs from France to Germany, which suggests that, in order to function smoothly, a system such as the ERM requires its largest player to accommodate policy variation elsewhere, rather than impose its own monetary stance as in the ‘German Leadership Hypothesis’ (GLH). The main results are confirmed by the stability analysis.
Volume (Year): 3 (2000)
Issue (Month): 2 (November)
|Contact details of provider:|| Postal: Trg J.F.Kennedya 6, 10000 Zagreb|
Phone: +385 1 233-5633
Fax: +385 1 238-3333
Web page: http://www.efzg.hr/
More information through EDIRC
|Order Information:|| Postal: Zagreb International Review of Economics and Business, Faculty of Economics and Business, Trg J. F. Kennedy 6, 10000 Zagreb, Croatia.|
Web: http://www.efzg.hr/default.aspx?id=6045 Email:
When requesting a correction, please mention this item's handle: RePEc:zag:zirebs:v:3:y:2000:i:2:p:39-61. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jurica Šimurina)
If references are entirely missing, you can add them using this form.