Tests for interest rate convergence and structural breaks in the EMS

Stilianos Fountas

doi:10.13025/22921

Tests for interest rate convergence and structural breaks in the EMS

Stilianos Fountas

Economics

National Chung Cheng University

Research output: Contribution to a Journal (Peer & Non Peer) › Article › peer-review

14 Citations (Scopus)

Abstract

We use a new test for cointegration that allows for structural breaks in the cointegrating relationship to test for bilateral interest rate convergence in the European Monetary System. Contrary to previous studies that employed standard cointegration tests, we find strong evidence for convergence between German nominal interest rates and interest rates in four other EMS countries in the 1979-1995 period.

Original language	English
Pages (from-to)	127-132
Number of pages	6
Journal	Applied Financial Economics
Volume	8
Issue number	2
DOIs	https://doi.org/10.13025/22921 https://doi.org/10.1080/096031098333104
Publication status	Published - 1998

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10.13025/22921Licence: CC BY-NC-ND
10.1080/096031098333104

Wp 015Accepted author manuscript, 1.08 MBLicence: CC BY-NC-ND

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AB - We use a new test for cointegration that allows for structural breaks in the cointegrating relationship to test for bilateral interest rate convergence in the European Monetary System. Contrary to previous studies that employed standard cointegration tests, we find strong evidence for convergence between German nominal interest rates and interest rates in four other EMS countries in the 1979-1995 period.

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JO - Applied Financial Economics

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Tests for interest rate convergence and structural breaks in the EMS

Abstract

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