Brüggemann, Ralf; Lütkepohl, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 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 fourinterest rate series. Combining German and European Monetary Union data to obtain the euro area interest rate …