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