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| Author: | Resnick, B.G. Shoesmith, G.l. |
| Title: | Information transmission in the world money markets |
| Journal: | European Financial Management
2011 : JAN, VOL.17:1, p. 183-200 |
| Index terms: | currency money markets cointegration error correction models euro dollars pound |
| Freeterms: | information transmission inter-market and intra-market tests LIBOR SIBOR TIBOR EURIBOR |
| Language: | eng |
| Abstract: | Based on uses 1,966 daily observations since the introduction of the euro and applying cointegration and error correction tests to examine information transmission in the major world money markets as represented by the domestic CD markets and the Eurocurrency market for the US dollar, euro, Japanese yen, and British pound sterling. The inter-market and intra-market tests results indicates that a high degree of integration and interdependency among inter-market interest rates and $ LIBOR and inline image LIBOR rates drive inline image LIBOR and £ LIBOR. Application of Johansen's (1988) multivariate test procedure and Gonzalo and Granger's (1995) long-memory components technique confirms and reinforces our intra-market findings that the system of four LIBOR rates is fully integrated with the single common trend driven by $ LIBOR and inline image LIBOR. |
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