Revisiting Interest Rate Linkages within the European Monetary System:Evidence from Threshold Cointe

  • 研討會日期 : 2003-08-12
  • 時間 : 15:00
  • 主講人 : 吳致寧教授
  • 地點 : B棟110室
  • 演講者簡介 : 吳致寧教授為Ph.D. in Economics,Ohio State University (1990)。 現為中正大學經濟系教授。 其主要研究領域為Empirical International Finance、Applied Macro-econometrics、Application of Panel Unit Roots and Panel Cointegration及Nonlinear Analysis to Financial Data and Macro Data。
  • 演講摘要 : Although conventional analysis of the linkages among interest rates has long relied on the linear cointegration approach, in this paper we argue that the conventional approach may not at all be appropriate since significant evidence to support threshold cointegration between different pairs of interest rates is found. With a threshold error-correction model, our empirical evidence supports the German dominance hypothesis for 2 out of 5 EMS countries. The violation of this hypothesis is presumably on account of abnormal changes in domestic interest rates.