International convergence of capital market interest rates
Martin M.G. Fase () and
Peter Vlaar ()
WO Research Memoranda (discontinued) from Netherlands Central Bank, Research Department
This article investigates the extent of capital market interest rate convergence among six EU countries on the one hand, and a group of four countries with floating exchange rates - US, Germany, Japan and Switzerland - on the other. We conclude that interest rate changes within the EU have been and still are converging gradually since 1980. Within the group of free-float currencies, the increase in convergence occurred abruptly around 1980, after which the extent of convergence remained roughly constant. Moreover, the presumed higher influence of US long-term interest rates on the level of German interest rates could not be detected.
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:wormem:519
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