The CCAPM meets Euro-interest rate persistence, 1960–2000
نویسندگان
چکیده
منابع مشابه
Investigating the Relationship between the Facility Interest Rate and the Bank Deposit Interest Rate in Iran
The facility interest rate is one of the most important macroeconomic variables. The bank facility interest rate is associated with other macro-economic variables, one of which is the bank deposit interest rate. Using the time series data of the 1973-2017 period and the simultaneous equation system, the researchers estimated four equations using the three-stage least squares method.The result o...
متن کاملThe Euro Area and World Interest Rates
We analyze the behavior of world interest rates, focusing on the ramifications of European Monetary Union. Our analysis indicates that nominal US interest rates tend to drive European rates at both the short and long horizons. There is some evidence that US rates are becoming increasingly influenced by European rates, but the relationship is still far from symmetric, despite EMU. We also invest...
متن کاملVii. Inflation Persistence in the Euro Area
Euro area inflation stubbornly above 2 per cent Headline inflation in the euro area has, on average, remained stubbornly above 2 per cent -the upper limit of the European Central Bank’s definition of medium-term price stability -for most of the period since mid-2000. This persistence may seem puzzling in the light of weakness in activity and is only partly explained by factors like oil and food...
متن کاملInterest Rate Interdependence between the Euro Area and the United States
This paper investigates whether the degree and the nature of economic and monetary policy interdependence between the United States and the euro area have changed with the advent of EMU. Using real-time data, it addresses this issue from the perspective of financial markets by analysing the effects of monetary policy announcements and macroeconomic news on daily interest rates in the United Sta...
متن کاملOn the Nonlinear Speci®cations of Short-Term Interest Rate Behavior: Evidence from Euro-Currency Markets
This paper presents a coherent nonlinear interest rate model that incorporates the dynamics of the error correction speci®cation into the traditional term structure model. The joint tests based on six Euro-Currency rates indicate that the linear speci®cation should be rejected. The estimated equation suggests that the linear componentsÐthe change of the long-term interest rate and the error cor...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of International Economics
سال: 2003
ISSN: 0022-1996
DOI: 10.1016/s0022-1996(02)00024-7