Additional evidence on EMS interest rate linkages
Alicia García-Herrero, John Thornton, International Monetary Fund. Monetary and Exchange Affairs Dept
International Monetary Fund, 1996 - Business & Economics - 11 pages
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arbitrage activity Belgium bidirectional causality Bivariate VAR analysis capital controls causality from German Causality Test Results coefficients cointegrating relationship Cointegration Test correction term Denmark deutsche mark developments in U.S. dominant position ECt-i efficient capital markets EMS countries EMS currencies EMS interest rates EMS members equation error-correction term derived European Monetary System exchange rate mechanism exchange rate relationship expected from efficient explaining EMS interest F-statistics are calculated formal exchange rate Fratianni German interest rates German Mark German monetary base Germany Germany Granger-causality stemming Granger-causality tests Granger-Sims causality greater short-run exchange iAIust-i influence of U.S. interest rate linkages interest rate series Ireland Italy Johansen-Juselius Katsimbris and Miller lagged dependent variables looser exchange rate maximum likelihood Netherlands nonzero risk premium null hypothesis percent level period some members rate relationship and/or rates on EMS result is consistent sample period Spain stemming from German t-statistic Country/causality U.S. interest rates unidirectional unit root zero risk premium