haku: @indexterm MONEY MARKETS / yhteensä: 577
viite: 49 / 577
Tekijä: | Al Awad, M. Goodwin, B. K. |
Otsikko: | Dynamic linkages among real interest rates in international capital markets. |
Lehti: | Journal of International Money and Finance
1998 : DEC, VOL.17:6, p. 881-907 |
Asiasana: | Capital markets Money markets Interest rates |
Kieli: | eng |
Tiivistelmä: | The authors examine short-run and long-run dynamic linkages among weekly real interest rates for G-10 countries using variety of time-series tests with special attention to the time-series proporties of nominal interest rates, ex-ante expected rates of inflation and real interest rates. In-sample and out-of-sample Granger causality tests are also used to evaluate lead/lag relationships among real interest rates. The results provide strong support for well-integrated markets, particularly in the long run. |
SCIMA