Dynamics of Intra-EMS Interest Rate Linkages

Dynamics of Intra-ems Interest Rate Linkages

A number of previous studies have questioned the dominant role of Germany within the EMS. These conclusions are often based on empirical findings that interest rates of member countries of the EMS are not affected by German interest rates, even in the long run. In this study we establish evidence to the contrary by demonstrating that intra-EMS interest rate differentials (vis-a-vis Germany) exh...

International Interest Rate Linkages: a Time Varying Parameter Approach

This paper examines the issue of state contingency in interest rate linkages across the G7 economies by employing Kalman (1960,1963) filter techniques to estimate time varying parameter models of bilateral dependence. Our results show that there is convincing evidence that international linkages in interest rates vary considerably over time. There are periods when international interest rate mo...

Endogenous asset market segmentation : interest rate dynamics

Interest Rate Dynamics and Consistent Forward Rate Curves∗

We derive general necessary and sufficient conditions for the mutual consistency of a given parametrized family of forward rate curves and the dynamics of a given interest rate model. Consistency in this context means that the interest rate model will produce forward rate curves belonging to the parameterized family. The interest rate model may be driven by a multidimensional Wiener process as ...

Interest rate linkages in the Eurocurrency market: Contemporaneous and out-of-sample Granger causality tests

This paper examines linkages among major Eurocurrency interest rates during 19942002. Eurocurrency interest rate causal linkages are found to be much stronger with additional allowance for contemporaneous causality test results than the inference based solely on Granger causality tests. The impact of U.S. interest rates is clearly not dominant in the Eurocurrency markets, while the Japanese int...