Weber, Enzo (2011) What happened to the transatlantic capital market relations? ECONOMIC MODELLING, 28 (3). pp. 877-884. ISSN 0264-9993,
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This paper investigates the capital market relations between Euroland and the USA from 1990 until 2006. The UIP-implied long-run relation between European and US government bond yields is shown breaking down in the mid-1990s. However, contrasting with conventional theory, a stationary equilibrium exists additionally including the exchange rate. The reason proves to be a stochastic trend common to the European interest and the euro/dollar rate, which is explained by central bank reactions and unfinished learning processes on the role of the euro. Furthermore, the paper demonstrates a striking reduction in the US capital market dominance, leading to transatlantic interdependence at eye level. (C) 2010 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | UNCOVERED INTEREST PARITY; MONETARY-POLICY RULES; UNIT-ROOT; TIME-SERIES; COINTEGRATION; TESTS; Capital market; UIP; Euro area; United States |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 18 Jun 2020 08:33 |
| Last Modified: | 18 Jun 2020 08:33 |
| URI: | https://pred.uni-regensburg.de/id/eprint/20876 |
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