Brueggemann, Ralf; Luetkepohl, Helmut - Department of Economics, European University Institute - 2005
A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations … parity the difference between the U.S. and euro area longterm interest rates should also be stationary. If all four interest … of four interest rate series. Combining German and European Monetary Union data to obtain the euro area interest rate …