Linkages among Interest Rates in the United States, Germany and Norway
使用约翰森多元协整方法分析美国、德国和挪威短期与长期利率之间的关系，发现美国利率对德国和挪威利率有显著影响，而反向影响较小，挪威还受到德国利率的强烈影响。
The Johansen multivariate cointegration methodology is used to analyze relationships among short‐term and long‐term interest rates in the United States, Germany and Norway. A variance decomposition approach is applied to estimate the proportion of each interest rate's forecast error variance attributable to innovations in the other interest rates. Impulse response functions are plotted to illustrate the speed with which interest rate events are transmitted between capital markets. The analyses illustrate that US interest rates have a significant influence on both German and Norwegian interest rates, while the reverse effect is modest. Norway is also strongly exposed to German interest rate movements, which reflects the consequences of a small country linking its currency to the value of European currencies.