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Do short-term interest rates influence long-term interest rates? Empirical evidence from some EMS countries

By Gabriel Quiros-Romero and Simon Sosvilla-Rivero

Abstract

This paper attempts to evaluate the possible influence of short-term interest rates on the determination of long-term interest rates for some EMS countries. In particular, we discuss a way of reconciling the widely dominant term-structure approach to interest rates with the conditions imposed by the market practice of financing high proportions of securities portfolios at money market rates. To that end, we apply the cointegration analysis to daily data.

DOI identifier: 10.1080/135048597355249
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