TY  - UNPD
A1  - Ehrmann, Michael
A1  - Fratzscher, Marcel
T1  - Equal size, equal role? : interest rate interdependence between the Euro area and the United States
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,46
N2  - This paper investigates whether the degree and the nature of economic and monetary policy interdependence between the United States and the euro area have changed with the advent of EMU. Using real-time data, it addresses this issue from the perspective of financial markets by analysing the effects of monetary policy announcements and macroeconomic news on daily interest rates in the United States and the euro area. First, the paper finds that the interdependence of money markets has increased strongly around EMU. Although spillover effects from the United States to the euro area remain stronger than in the opposite direction, we present evidence that US markets have started reacting also to euro area developments since the onset of EMU. Second, beyond these general linkages, the paper finds that certain macroeconomic news about the US economy have a large and significant effect on euro area money markets, and that these effects have become stronger in recent years. Finally, we show that US macroeconomic news have become good leading indicators for economic developments in the euro area. This indicates that the higher money market interdependence between the United States and the euro area is at least partly explained by the increased real integration of the two economies in recent years.
T3  - CFS working paper series - 2003, 46 
KW  - interdependence
KW  - announcements
KW  - news
KW  - money markets
KW  - real-time data
KW  - United States
KW  - Euro area
KW  - Europäische Union
KW  - Wirtschafts- und Währungsunion
KW  - USA
KW  - Geldpolitik
KW  - Zinsstruktur
KW  - Zinsstrukturtheorie
KW  - Internationaler Konjunkturzusammenhang
KW  - Geldmarkt
KW  - Wirtschaftswachstum
KW  - Self-fulfilling Prophecy
KW  - Transmissionsmechanismus
KW  - Geschichte 1993-2003
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4448
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10500
IS  - December 2003
ER  -