Arbeitspapier
Interdependence between the euro area and the US: what role for EMU?
This paper investigates whether the degree and nature of interdependence between the United States and the euro area have changed with the advent of EMU. Using real-time data, it addresses this issue from the perspective of financial markets by analysing the effects of monetary policy announcements and macroeconomic news on daily interest rates in the United States and the euro area. The paper finds that the interdependence of money markets has steadily increased over time, with the spillover effects from the United States to the euro area being somewhat stronger than in the opposite direction. Moreover, for the early stages of EMU, we find evidence that the markets were going through a learning process about the ECB monetary policy. Towards the end of our sample period, the importance attached to euro area consumer prices and M3 has reached levels that are remarkably similar to the role of German consumer prices and M3 for German interest rates prior to EMU.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 200
- Classification
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
International Policy Coordination and Transmission
- Subject
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announcements
interdependence
money markets
news
real-time
- Event
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Geistige Schöpfung
- (who)
-
Ehrmann, Michael
Fratzscher, Marcel
- Event
-
Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ehrmann, Michael
- Fratzscher, Marcel
- European Central Bank (ECB)
Time of origin
- 2002
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