Do short-term interest rates influence long-term interest rates? Empirical evidence from some EMS countries

This paper attempts to evaluate the possible influence of short-term interest rates on the determination of long-term interest rates for some EMS countries. In particular, we discuss a way of reconciling the widely dominant term-structure approach to interest rates with the conditions imposed by the market practice of financing high proportions of securities portfolios at money market rates. To that end, we apply the cointegration analysis to daily data.

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Year of publication:	1997
Authors:	Quiros-Romero, Gabriel ; Sosvilla-Rivero, Simon
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 4.1997, 7, p. 449-451
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009195699