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Long-term nominal interest rates in a number of inflation-targeting small open economies have tended to be highly correlated with those of the United States. This observation has recently lent support to the view that the long end of the yield curve is determined abroad. We set up and estimate a...
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In this paper, we investigate the spillover of the financial-market volatility arising from the East-asian crisis on … increased volatility should be kept in perspective: US-market and own-market developments generally had much greater influence … on prices and volatility than the shocks originating in the Asian crisis economies. Importantly, the financial …
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