External macroeconomic factors and the link between short- and long-run European interest rates: a note
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONMetadades
Títol
External macroeconomic factors and the link between short- and long-run European interest rates: a noteData de publicació
2009-04Editor
Southern Economic AssociationISSN
0038-4038Cita bibliogràfica
Southern economic journal (April 2009), vol. 75, no. 4, 1212 1219Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://www.southerneconomic.org/Versió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
This article analyzes the long-run relationships linking long- and short-run interest rates for the Euro-wide aggregated variables. To this end, we extend the set of variables traditionally involved in the Campbell ... [+]
This article analyzes the long-run relationships linking long- and short-run interest rates for the Euro-wide aggregated variables. To this end, we extend the set of variables traditionally involved in the Campbell and Shiller (1987) framework for the term structure to add external macro variables (the exchange rate, U.S. inflation, and U.S. short-run interest rates). Our results support the expectations hypothesis and also stress the importance of accounting for foreign economy influences on European monetary policy, namely, the real exchange rate of the American dollar as well as real interest rates [-]
Drets d'accés
© 2009 Southern Economic Association
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info:eu-repo/semantics/openAccess
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/openAccess
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