English, Article, Journal or magazine article edition: Term Structure Linkages Among the New EU Countries and the EMU Minoas Koukouritakis; Leo Michelis

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Bookmark: http://trove.nla.gov.au/version/139144
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Term Structure Linkages Among the New EU Countries and the EMU
Author
  • Minoas Koukouritakis
  • Leo Michelis
Physical Description
  • preprint
Notes
  • This paper uses cointegration and common trends techniques to investigate empirically the expectations hypothesis of the term structure of interest rates in the 10 new EU countries, and the 2 core EMU countries, France and Germany. By decomposing each term structure into its transitory and permanent components, we also analyze the possible short run and long run linkages among the term structures of these countries. The empirical results support the expectations theory of the term structure for all countries except Malta. Further, they point to both weak short run linkages and several strong long run linkages among the monetary policies of the 10 new EU and the core of the EMU. The group of the Central European countries and Latvia are prominent in the latter case.
  • Term Structure, EU Enlargement, Cointegration, Common Trends, Granger
  • RePEc:crt:wpaper:0515
Language
  • English
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