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The term structure of interest rates and financial integration in the ERM

โœ Scribed by Mark J. Holmes; Eric J. Pentecost

Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
188 KB
Volume
2
Category
Article
ISSN
1076-9307

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โœฆ Synopsis

In this paper we examine the relationship between the term structure of interest rates for six major European Union countries, to discover if the Exchange Rate Mechanism has lead to a converging of domestic term structures. We test this hypothesis using a model of international interest rate parity and three alternative econometric methods. We ยฎnd that there is evidence of inter-dependence of domestic term structures implying that not only are European monetary polices converging but also that the appropriate model of the term structure is one with an explicit open economy dimension.

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