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Tests for Interest Rate Convergence and Structural Breaks in the EMS


  • Stilianos Fountas
  • Jyh-lin Wu

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


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.

Suggested Citation

  • Stilianos Fountas & Jyh-lin Wu, 1997. "Tests for Interest Rate Convergence and Structural Breaks in the EMS," Working Papers 15, National University of Ireland Galway, Department of Economics, revised 1997.
  • Handle: RePEc:nig:wpaper:0015

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    JEL classification:

    • F3 - International Economics - - International Finance


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