Tests for Interest Rate Convergence and Structural Breaks in the EMS

Stilianos Fountas and Jyh-lin Wu
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Jyh-lin Wu: Department of Economics, National University of Ireland, Galway

No 15, Working Papers from National University of Ireland Galway, Department of Economics

Abstract: We use a new test for cointegration that allows for structural breaks in the cointegrating relationship to test for bilateral interest rate convergence in the European Monetary System. Contrary to previous studies that employed standard cointegration tests, we find strong evidence for convergence between German nominal interest rates and interest rates in four other EMS countries in the 1979-1995 period.

JEL-codes: F3 (search for similar items in EconPapers)
Date: 1997, Revised 1997
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Published in Applied Financial Economics, Vol. 8, No. 1, 1998

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Journal Article: Tests for interest rate convergence and structural breaks in the EMS (1998)
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