search query: @indexterm Cointegration / total: 76
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| Author: | Zhou, S. |
| Title: | Interest rate linkages within the European Monetary System: new evidence incorporating long-run trends |
| Journal: | Journal of International Money and Finance
2003 : AUG, VOL. 22:4, p. 571-590 |
| Index terms: | Cointegration European Monetary System Interest rates |
| Language: | eng |
| Abstract: | The rejection of the existence of bivariate long-run relationships between the interest rates within the European Monetary System (EMS) is shown in this paper, by previous studies, may stem from the under-specification of deterministic variables in the models and failure to capture the changes in the trend behaviour of the data. This study applies the Johansen cointegration tests in models with alternative trend specifications to four German-other EMS interest rate pairs for 1979-1998 with three sub-sample periods corresponding to different degrees of EMS monetary integration. |
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