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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25139
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| Title: | | The euro and the transatlantic capital market leadership: a recursive cointegration analysis  |
| Authors: | | Weber, Enzo |
| Issue Date: | | 2006 |
| Series/Report no.: | | SFB 649 discussion paper 2006,056 |
| Abstract: | | 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. |
| Subjects: | | Capital Market UIP Euro Transatlantic Relations |
| JEL: | | E44 F36 C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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