Long-Term Interest Rate Convergence in Europe and the Probability of EMU

Ignazio Angeloni (ignazio.angeloni@eui.eu) and Roberto Violi

Working Papers from Banca Italia - Servizio di Studi

Abstract: Using a simple method, based on forward interest spreads, we analyse the recent movements in the 10-year yield differentials between three currencies (Italian lira; Spanish peseta; Swedish krona) and the DM in order to gauge the extent to which the reduction in these differentials was due to market arbitrage triggered by the expectation of EMU or to more "fundamental" factors (lower inflationary expectations; improved fiscal outlook).

Keywords: MONETARY AREAS; INTEREST RATE; EUROPE (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
Pages: 31 pages
Date: 1997
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Citations: View citations in EconPapers (10)

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