Additional Evidenceon Ems Interest Rate Linkages

John Thornton and Alicia García-Herrero
Authors registered in the RePEc Author Service: Alicia Garcia Herrero

No 1996/115, IMF Working Papers from International Monetary Fund

Abstract: This note examines interest rate linkages within the EMS. Cointegration tests suggest the existence of a long-run equilibrium relationship between German and other EMS interest rates. Bivariate VAR analysis finds that Granger-causality either stems from German to other European interest rates (Belgium, France, Spain, and the U.K.) or is bidirectional (Denmark and the Netherlands). When allowance is made for the influence of U.S. interest rates, the pattern of Granger causality is predominantly bidirectional.

Keywords: WP; interest rate; Ems interest rate linkage; Ems interest rate movement; Ems interest rates; interest rate series; Ems country interest rates; Granger-causality test; EMS interest rates; Exchange rates; Return on investment (search for similar items in EconPapers)
Pages: 16
Date: 1996-10-01
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Citations: View citations in EconPapers (3)

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