search query: @author Tse, Y. / total: 8
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| Author: | Tse, Y. Booth, G. G. |
| Title: | The relationship between U.S. and Eurodollar interest rates: Evidence from the futures market |
| Journal: | Weltwirtschaftliches Archiv
1995 : VOL. 131:1, p. 28-46 |
| Index terms: | EURODOLLARS INTEREST RATES FUTURES MARKETS |
| Language: | eng |
| Abstract: | This paper analyzes the lead/lag relationship in the Granger-cause sense between U.S. and Eurodollar interest rates in futures contracts. It shows that yields on U.S. Treasuru bill and Eurodollar futures are cointegrated with the TED spread as cointegrating vector for the period January 1987 - July 1993. The error corection model indicates that the U.S. market leads the Eurodollar market. However, the presence of this unidirectional causality does not improve the forecasting of Eurodollar yields. Other evidence given in the paper suggests that the hypothesis of contemporaneous relationships, at least on daily base, is not rejected. |
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