The euro and the transatlantic capital market leadership: a recursive cointegration analysis

Arbeitspapier

In this paper, the capital market relations between the Euro area and the USA are subject to investigation. Formally based on the uncovered interest rate parity (UIP), first a longrun equilibrium between Euro and US government bond yields is established in backward recursively estimated vector error correction models (VECMs). Subsequently, the focus lies on interest rate leadership and adjustment as well as capital market integration. One major finding shows, that the foundation of the European Monetary Union (EMU) strengthened its role relative to the USA. Furthermore, the transatlantic connections have become closer in the course time.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2006,056

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Financial Aspects of Economic Integration ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Capital Market ; UIP ; Euro ; Transatlantic Relations

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Weber, Enzo
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/25139
• Last update: 10.03.2025, 11:44 AM CET