haku: @indexterm eurocurrency markets / yhteensä: 109
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Tekijä: | Bremnes, H. Gjerde, Ö. Saettem, F. |
Otsikko: | A multivariate cointegration analysis of interest rates in the Eurocurrency market |
Lehti: | Journal of International Money and Finance
1997 : OCT, Vol. 16:5, p. 767-778 |
Asiasana: | INTEREST RATES EUROCURRENCY MARKETS MONEY MARKETS |
Kieli: | eng |
Tiivistelmä: | A multivariate cointegration methodology is utilized to analyze relations among interest rates on US dollars, US pounds, Gemrman marks, French francs and Japanese yen in the Eurocurrency market over a period with major capital market deregulations and increasingly globalized money market trading. Three major results appear. It is appropriate to model these interest rates as a multivariate cointegrated system. No interest rate may be excluded from the cointegrating relations. A recursive cointegration approach indicates that the number of cointegration vectors increases in the later part of the sample period. Consequently, this study supports the hypothesis of a substantial increase in Euromarket interest rate comovements. |
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