EMU and Long Interest Rates in Germany /

The presence of an 'EMU premium' in German long rates is tested by examining the co-movement of German and other European yields, as well as the exchange rate of the private ECU, in reaction to EMU-related events. If German yields incorporate an 'EMU premium' while other European...

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Détails bibliographiques
Auteur principal: Zettelmeyer, Jeromin
Format: Revue
Langue:English
Publié: Washington, D.C. : International Monetary Fund, 1996.
Collection:IMF Working Papers; Working Paper ; No. 1996/133
Accès en ligne:Full text available on IMF
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490 1 |a IMF Working Papers 
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500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
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520 3 |a The presence of an 'EMU premium' in German long rates is tested by examining the co-movement of German and other European yields, as well as the exchange rate of the private ECU, in reaction to EMU-related events. If German yields incorporate an 'EMU premium' while other European currencies expect lower interest rates from EMU, then German and other European long yields should react in opposite directions to events affecting the probability of EMU. In fact, they typically react in the same direction. Similarly, events which lead to an appreciation of the private ECU are associated with a decline in German yields. 
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830 0 |a IMF Working Papers; Working Paper ;  |v No. 1996/133 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/1996/133/001.1996.issue-133-en.xml  |z IMF e-Library