The term structure of interest rates and financial integration in the ERM
研究了欧盟六国利率期限结构的关系，发现欧洲汇率机制促使国内期限结构趋同，表明欧洲货币政策在收敛且期限结构模型需考虑开放经济维度。
In this paper we examine the relationship between the term structure of interest rates for six major European Union countries, to discover if the Exchange Rate Mechanism has lead to a converging of domestic term structures. We test this hypothesis using a model of international interest rate parity and three alternative econometric methods. We find that there is evidence of inter-dependence of domestic term structures implying that not only are European monetary polices converging but also that the appropriate model of the term structure is one with an explicit open economy dimension. © 1997 John Wiley & Sons, Ltd.