Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/11777
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Fonseca, José Soares da | - |
dc.date.accessioned | 2009-10-19T12:14:14Z | - |
dc.date.available | 2009-10-19T12:14:14Z | - |
dc.date.issued | 2002 | - |
dc.identifier.citation | Estudos do GEMF. 2 (2002) | en_US |
dc.identifier.uri | https://hdl.handle.net/10316/11777 | - |
dc.description.abstract | The spread between interest rates denominated in different currencies represents the expectations on exchange rate changes, according to the uncovered interest rate parity condition. In the present research the short- and long-term spreads between Portuguese and German Treasury bonds interest rates are studied, using weekly data covering the period from 1993-08-02 to 1998-12-14, supplied by the Banco de Portugal. The interdependence of the two spreads is estimated using cointegration methods, and their dynamic adjustment to the long-term relation is determined using impulse response analysis. The main conclusions of this research are that there was a structural break in the long-term relation between the two spreads in mid 1994, and that that relation was afterwords dominated by the consistent convergence of the Portuguese interest rates to European levels. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | FEUC. Grupo de Estudos Monetários e Financeiros | en_US |
dc.rights | openAccess | en_US |
dc.subject | Term structure | en_US |
dc.subject | Interest rate parity | en_US |
dc.subject | Cointegration | en_US |
dc.subject | Structural break | en_US |
dc.title | The Term Structure of the Spreads between Portuguese and German Interest Rates during Stage II of EMU | en_US |
dc.type | workingPaper | en_US |
uc.controloAutoridade | Sim | - |
item.openairetype | workingPaper | - |
item.fulltext | Com Texto completo | - |
item.languageiso639-1 | en | - |
item.grantfulltext | open | - |
item.cerifentitytype | Publications | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
crisitem.author.dept | Faculty of Economics | - |
crisitem.author.researchunit | Group for Monetary and Financial Studies | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.orcid | 0000-0002-7995-4872 | - |
Appears in Collections: | FEUC- Vários |
Files in This Item:
File | Description | Size | Format | |
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The Term Structure of the Spreads.pdf | 75.53 kB | Adobe PDF | View/Open |
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