haku: @author Lin, A. / yhteensä: 3
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| Tekijä: | Lin, A. Swanson, P. |
| Otsikko: | The U.S. dollar in global money markets: a multivariate cointegration analysis |
| Lehti: | Quarterly Review of Economics and Finance
1997 : SPRING, VOL. 37:1, p. 139-150 |
| Asiasana: | ECONOMICS FINANCE MONEY MARKETS |
| Kieli: | eng |
| Tiivistelmä: | This study extends the money market integration literature in two ways. First, it analyses dollar yield behavior within a multivariate cointegration framework as opposed to the usual bilateral approach based on stock adjustment models or Granger/Sims causality test variants. Second, the relationships between dollar yields in four different geographic markets -- domestic U.S., Eurodollar, Singapore and Hong Kong -- are analysed, providing a more global perspective than earlier studies. |
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