Cover IMF Working Papers
Additional Evidenceon Ems Interest Rate Linkages
Author: Mr. John Thornton and Ms. Alicia García-Herrero
Series:
IMF Working Papers
Volume/Issue:
Volume 1996: Issue 115
Language:
English
Publication Date:
01 Oct 1996
DOI:
https://doi.org/10.5089/9781451942941.001
ISBN:
9781451942941
ISSN:
1018-5941
Pages:
16
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
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund