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Was there a « Greenspan Conundrum » in the Euro area?

LAMÉ, G. - Département des Études Économiques d'Ensemble (D3E), … - 2013

of the pricing factors, thus providing more accurate estimates of the term premium incorporated into the Eurozone … appears to have gone through its own "Greenspan conundrum" between January 1999 and August 2008. The term premium …

Persistent link: https://www.econbiz.de/10010732233

Determinants of long-term interest rates in the Scandinavian countries

Hol, Suzan - Statistisk Sentralbyrå, Government of Norway - 2006

The financial markets in a small open economy like the Scandinavian countries are influenced by international economic developments, especially in their major trading partners. This paper investigates to which degree nominal long-term interest rates in Norway, Sweden and Denmark are determined...

Persistent link: https://www.econbiz.de/10004980619

Was there a "Greenspan conundrum" in the Euro Area ?

Lamé, Gildas - Centre de Recherche en Économie et Statistique … - 2013

dynamics of the pricing factors, thus providing more accurate estimates of the term premium incorporated into the Eurozone …. The term premium substantially contributed to these odd phenomena. …

Persistent link: https://www.econbiz.de/10010660007

British interest rate convergence between the US and Europe: a recursive cointegration analysis

Weber, Enzo - 2006

. Economically, the analysis is based on dependences in the money and capital markets, namely the uncovered interest parity (UIP) and … calculations carried out in a cointegration framework. As the ecidence for the single parities remains unconvincing, UIP and EHT …

Persistent link: https://www.econbiz.de/10010263618

British Interest Rate Convergence between the US and Europe: A Recursive Cointegration Analysis

Weber, Enzo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

. Economically, the analysis is based on dependences in the money and capital markets, namely the uncovered interest parity (UIP) and … calculations carried out in a cointegration framework. As the evidence for the single parities remains unconvincing, UIP and EHT …

Persistent link: https://www.econbiz.de/10005652759

Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period

Bevilacqua, Franco - United Nations University, Maastricht Economic and … - 2006

modelling of international parity conditions, namely ppp and uip, produces stationary relations showing an important interaction … cointegration relation found between ppp and uip still holds notwithstanding of how ppp is measured. …

Persistent link: https://www.econbiz.de/10005150862

International parity relations between Poland and Germany: a cointegrated VAR approach

Stazka, Agnieszka - Volkswirtschaftliche Fakultät, … - 2008

the real exchange rate from the PPP and the strong exogeneity of the German interest rate. …

Persistent link: https://www.econbiz.de/10008599102

Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period

Bevilacqua, Franco - United Nations University, Maastricht Economic and … - 2006

Juselius (1995), MacDonald (2000), Juselius and MacDonald (2000) provided an explanation to some basic issues in international monetary economics concerning the validity of parity conditions. This paper instead restricts the analysis to the years between 1957 and 1969 and the countries under...

Persistent link: https://www.econbiz.de/10005451564

International Parity Relationships Between Germany and the United States: A Joint Modelling Approach

Juselius, Katarina; MacDonald, Ronald - Økonomisk Institut, Københavns Universitet - 2003

This paper examines the interrelations between purchasing power parity, uncovered interest parity, the term structure of interest rates and the Fisher real interest rate parity using cointegration analysis. Dynamic adjustment and feed-back effects are estimated jointly in a full system of...

Persistent link: https://www.econbiz.de/10005543582

Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period

Bevilacqua, Franco - United Nations University-Maastricht Economic Research … - 2006

Persistent link: https://www.econbiz.de/10010712001