U.S.-European Interest Rate Linkage: A Time Series Analysis for West Germany, Switzerland, and the United States
用谱分析和格兰杰因果检验，研究1974-1984年浮动汇率下美国、西德和瑞士的利率联动性，发现1979-1984年联动性强，而1974-1978年弱或不存在。
The authors investigate whether there was an international linkage of interest rates between the United States, West Germany, and Switzerland during the period of flexible exchange rates, 1974-84. Euro-market rates and bond-market rates are considered during the two subperiods of falling and increasing U.S. Dollar/DM exchange rates, 1974 to 1978 and 1979 to 1984. Spectral analysis and Granger causality tests are applied and trivariate autoregressive models are estimated. It is shown that a strong linkage exists during the second period, but during the first subperiod there was no, or only a weakly-pronounced, linkage. Copyright 1987 by MIT Press.