External macroeconomic factors and the link between short- and long-run European interest rates: a note
Camarero, M., Ordóñez Montfort, J. and Tamarit, C., 2009. External macroeconomic factors and the link between short- and long-run European interest rates: a note. Southern Economic Journal, 75 (4), pp. 1212-1219.
Related documents:This repository does not currently have the full-text of this item.
You may be able to access a copy if URLs are provided below. (Contact Author)
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.
|Creators||Camarero, M., Ordóñez Montfort, J. and Tamarit, C.|
|Departments||Faculty of Humanities & Social Sciences > Economics|
Actions (login required)