Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe

DSpace/Manakin Repository

Show simple item record

dc.contributor.author BRUEGGEMANN, Ralf en
dc.contributor.author LUETKEPOHL, Helmut en
dc.date.accessioned 2006-04-06T09:15:31Z
dc.date.available 2006-04-06T09:15:31Z
dc.date.created 2005 en
dc.date.issued 2005 en
dc.identifier.citation Applied Economics Quarterly, 2005, 51, 2, 143-154. en
dc.identifier.uri http://hdl.handle.net/1814/4307
dc.description.abstract A system of U.S. and euro-area short and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure, the interest rate spreads should be stationary and according to the uncovered interest rate parity, the difference between the U.S. and euro-area long-term interest rates should also be stationary. If all four interest rates are integrated of order one, one would expect to find three linearly independent cointegration relations in the system of four interest rate series. Combining German and European Monetary Union data to obtain the euro-area interest rate series, we indeed find the theoretically expected three cointegration relations, in contrast to previous studies based on different data sets. en
dc.language.iso en en
dc.relation.ispartof Applied Economics Quarterly
dc.title Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe en
dc.type Article en
dc.neeo.contributor BRUEGGEMANN|Ralf|aut|
dc.neeo.contributor LUETKEPOHL|Helmut|aut|EUI70007
dc.identifier.volume 51
dc.identifier.startpage 143
dc.identifier.endpage 154


Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record