Long-Term Interest Rate Convergence in Europe and the Probability of EMU
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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|Date of creation:||1997|
|Date of revision:|
|Contact details of provider:|| Postal: Banca d'Italia-Servizio Studi-Divisione Biblioteca e Pubblicazioni - Via N azionale, 91 -00184 Rome, Italy.|
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