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- W2090146318 abstract "The paper analyses the sources of persistent interest rate differentials vis-à-vis Germany that have existed in Belgium, Denmark, France, Ireland, Italy, and the Netherlands. In a target zone system like the ERM, interest rate differentials mainly reflect devaluation expectations, which are measured here by raw 1-month Euromarket interest rate differentials, drift-adjusted 1-month differentials, and differentials in long-term government bond yields. The role of a large set of fundamental macroeconomic variables that may have affected these devaluation expectations is investigated within a vector autoregressive (VAR) setting, by means of Granger-causality tests, impulse-response functions and variance decompositions. We find no evidence that fundamentals are more relevant to drift-adjusted devaluation risk than for unadjusted interest rate differentials. A significant impact of inflation, budget deficits, and unemployment becomes evident for almost all ERM-participants." @default.
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- W2090146318 date "1998-02-01" @default.
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- W2090146318 title "The fundamental determinants of interest rate differentials in the ERM" @default.
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- W2090146318 doi "https://doi.org/10.1080/000368498325976" @default.
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