The 2 reference contexts in paper Christopher F. Baum, John Barkoulas (2001) “Dynamics of Intra-EMS Interest Rate Linkages” / RePEc:boc:bocoec:492

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    2183
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    A direct implication of the GDH is that the interest rates of other EMS member countries are cointegrated with the German interest rate, with the German interest rate playing the leading role. However, Karfakis and Moschos (1990), Katsimbris and Miller (1993),
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    Hassapis et al. (1999), and Caporale et al. (1996),
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    among others, report evidence that short-term interest rates in EMS countries are not cointegrated with the German interest rate.1 The absence of a common trend in the bivariate systems of EMS and German interest rates refutes the monetary-policy objectives of the EMS, and suggests the absence of convergence of European monetary policies.
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    Katsimbris and Miller (1993) estimate trivariate error-correction models including the U.S. interest rate in the system and, based on Granger causality tests, report negative evidence for the GDH, finding that EMS interest rates respond to each other as well as to the U.S. interest rate.
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    Hassapis et al. (1999)
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    apply the Johansen cointegration methodology to systems of EMS interest rates extended to include the U.S. interest rate. They find that EMS interest rates are cointegrated with the U.S. interest rate but not with the German interest rate.2 They identify short-run intra-EMS linkages but, in most cases, they report that German interest rates are caused by, rather than cause, the interest rates of t
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