An Empirical Note on Euro Market Interest Rates, Domestic Interest Rates and the Expectations Theory of the Term Structure

Peter Kugler and Hansjorg Borutta

Empirical Economics, 1993, vol. 18, issue 1, 95-101

Abstract: An empirical analysis of recent monthly data for eight currencies indicates that the performance of the expectations theory to explain the short term maturity spectrum of Euro interest rates is rather good in most cases and that it is not related to the degree of integration of Euro and domestic markets.

Date: 1993
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