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Additional Evidenceon Ems Interest Rate Linkages


  • John Thornton
  • Alicia García-Herrero


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.

Suggested Citation

  • John Thornton & Alicia García-Herrero, 1996. "Additional Evidenceon Ems Interest Rate Linkages," IMF Working Papers 96/115, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:96/115

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    References listed on IDEAS

    1. Jeffrey Frankel & David Parsley & Shang-Jin Wei, 2012. "Slow Pass-through Around the World: A New Import for Developing Countries?," Open Economies Review, Springer, vol. 23(2), pages 213-251, April.
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    Cited by:

    1. Paul R. Bergin & Òscar Jordà, 2017. "Measuring Monetary Policy Interdependence," World Scientific Book Chapters,in: International Macroeconomic Interdependence, chapter 14, pages 387-415 World Scientific Publishing Co. Pte. Ltd..
    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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