Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963172 | Journal of International Economics | 2011 | 12 Pages |
Abstract
⺠We set up and estimate a two-country small open economy model. ⺠We study the co-movement of long-term interest rates of different currencies. ⺠The expectations hypothesis and uncovered interest rate parity hold in the model. ⺠Differences in relative persistence can explain interest rate correlations. ⺠These correlations are not evidence of weaker monetary policy.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mariano Kulish, Daniel Rees,