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Title: |
The Term Structure of Interest Rates among G7
Countries |
| Author: |
Holmes, Mark J. |
| Author
Affiliation: |
Loughborough U
Technology |
| Source: |
International Economic Journal, Winter 1995, v. 9, no. 4, pp. 77-90 |
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Publication Date: |
Winter 1995 |
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Abstract: |
This study considers the interdependence
and integration of G7 term structures for the period following 1974-92.
Using a variety of bivariate and multivariate econometric techniques, it
would appear that we have at best only slight evidence that the 1980s
has brought the G7 term structures closer together. This is despite the
creation of the ERM, the relaxation of capital controls on the part of
Japan and the U.K., and much greater concern with policy coordination
and exchange rate management of the U.S. dollar. However, within the G7
there is evidence that term structures have become more closely aligned
within certain groups, i.e., the EU members and between Canada and the
U.S. |
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