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Interactions between US and UK interest rates and news spillovers: the impact of the EMU

Author

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  • Yves Kuhry
  • Sukriye Tuysuz

Abstract

This paper studies interactions between UK and US interest rates. We determine how interest rates’ means and volatilities react to key economic/financial news. We analyse the integration of the American and British economies by studying spillover and feedback effects between rates and news spillovers. The factors that account for the most variations in interest rates are, for both countries, monetary policy decisions, price levels and unemployment. Moreover, the reaction of UK (resp. US) interest rates to US variables declined (resp. increased) in recent years. This can gain sense if one takes into account the emergence of the EMU as a new economic power.

Suggested Citation

  • Yves Kuhry & Sukriye Tuysuz, 2009. "Interactions between US and UK interest rates and news spillovers: the impact of the EMU," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 52(1), pages 79-99.
    • Handle: RePEc:bxr:bxrceb:2013/80757
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    More about this item

    Keywords

    Interest rates; News spillovers; Multivariate GARCH; United States; United Kingdom; Euro area;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • F30 - International Economics - - International Finance - - - General

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