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Term Structure Linkages Among the New EU Countries and the EMU

Minoas Koukouritakis () and Leo Michelis ()

No 515, Working Papers from University of Crete, Department of Economics

Abstract: This paper uses cointegration and common trends techniques to investigate empirically the expectations hypothesis of the term structure of interest rates in the 10 new EU countries, and the 2 core EMU countries, France and Germany. By decomposing each term structure into its transitory and permanent components, we also analyze the possible short run and long run linkages among the term structures of these countries. The empirical results support the expectations theory of the term structure for all countries except Malta. Further, they point to both weak short run linkages and several strong long run linkages among the monetary policies of the 10 new EU and the core of the EMU. The group of the Central European countries and Latvia are prominent in the latter case.

Keywords: Term Structure; EU Enlargement; Cointegration; Common Trends; Granger (search for similar items in EconPapers)
JEL-codes: E43 F15 F42 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2005
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:crt:wpaper:0515

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