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International convergence of capital market interest rates

Martin M.G. Fase () and Peter Vlaar ()

WO Research Memoranda (discontinued) from Netherlands Central Bank, Research Department

Abstract: 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.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:wormem:519

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