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| Author: | Artis, M. Zhang, W. |
| Title: | The linkage of interest rates within the EMS |
| Journal: | Weltwirtschaftliches Archiv
1998 : VOL. 134:1, p. 117-132 |
| Index terms: | INTEREST RATES EUROPEAN MONETARY SYSTEM ECONOMICS |
| Language: | eng |
| Abstract: | The purpose of this paper is to reexamine relationships of cointegration of interest rates in the EMS and between the US and the EMS and to attempt to clarify some of the results. Three things distinguish this contribution from previous research. First, the data period covered by this paper is extended to June 1997 and thus includes the period since German unification and the ERM crises of 1992 and 1993. Second, the evidence provided in this paper shows that the test statistics from the ECM formulation reject the null of no-cointegration more often than those of the residual-based DF/ADF test. |
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