A multivariate cointegration analysis of interest rates in the Eurocurrency market

Journal of International Money and Finance

Volumn 16, Issue 5, 1997, Pages 767-778

  Bremnes, Helge ^a   Gjerde, Øystein ^b   Sættem, Frode ^c  

^a Molde College   (Norway)

^b NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

^c Institute for Research in Economics and Business Administration   (Norway)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031578429     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(97)00028-4     Document Type: Article

References (35)

1. Aliber, R. Z. (1978) The integration of national financial markets: A review of theory and findings. Weltwirtschafliches Archiv 114, 448-480.
2. Argy, V. and Hodjera, Z. (1973) Financial integration and interest rate linkages in industrial countries, 1958-71. Staff Papers, International Monetary Fund.
3. De Grauwe, P. (1989) Is the European Monetary System a DM zone? Working Paper No. 297, Centre for Economic Policy Research, London.
4. Dickey, D. and Fuller, W. A. (1979) Distribution of the estimators for autoregressive time-series with a unit root. Journal of the American Statistical Association 74, 427-431.
5. Dickey, D. and Fuller, W. A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49, 1057-1072.
6. Edison, H. J. and Kole, L. S. (1995) European monetary arrangements: Implications for the Dollar, exchange rate variability and credibility. European Financial Management 1, 61-86.
7. Engle, R. F. and Granger, C. W. J. (1987) Cointegration and error correction: representation, estimation and testing. Econometrica 55, 251-276.
8. Fratianni, M. and von Hagen, J. (1990) German dominance in the EMS: The empirical evidence. Open Economic Review 1, 67-87.
9. Fung, H. -G. and Isberg, S. C. (1992) The international transmission of eurodollar and US interest rates: A cointegration analysis. Journal of Banking and Finance 16, 757-769.
10. Giddy, I. H., Dufey, G. and Min, S. (1979) Interest rates in the US and Eurodollar markets. Weltwirtschaftliches Archiv 115, 51-67.
11. Gonzalo, J. (1994) Five alternative methods of estimating long run equilibrium relationships. Journal of Econometrics 60, 203-233.
12. Granger, C. W. J. (1986) Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics 48, 213-228.
13. Hall, A. D., Anderson, H. M. and Granger, C. W. J. (1992) A cointegration analysis of treasury bill yields. The Review of Economics and Statistics 74, 116-126.
14. Hamilton, J. D. (1994) Time Series Analysis. Princeton University Press, Princeton, NJ.
15. Hartman, D. G. (1984) The international financial market and US interest rates. Journal of International Money and Finance 3, 91-103.
16. Hendershott, P. H. (1967) The structure of international interest rates: The US treasury bill rate and the Eurodollar deposit rate. Journal of Finance 22, 455-465.
17. Johansen, S. (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12, 231-254.
18. Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in gaussian autoregressive models. Econometrica 59, 1551-1580.
19. Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration - with applications to the demand for money. Oxford Bulletin of Economics and Statistics 52, 169-210.
20. Kaen, F. R. and Hachey, G. A. (1983) Eurocurrency and national money market interest rates. Journal of Money, Credit, and Banking 15, 327-338.
21. Karfakis, J. C. and Moschos, D. M. (1990) Interest rate linkages within the European Monetary System: A time series analysis. Journal of Money, Credit, and Banking 22, 388-394.
22. Katsimbris, G. M. and Miller, S. M. (1993) Interest rate linkages within the European Monetary System: Further analysis. Journal of Money, Credit, and Banking 25, 771-779.
23. Kirchgässner, G. and Wolters, J. (1987) US European interest rate linkage: A time series analysis for West Germany, Switzerland, and The United States. The Review of Economics and Statistics 69, 675-684.
24. Krugman, P. R. and Obstfeld, M. (1988) International Economics. Scott, Foresman and Company, Boston, MA.
25. Kwack, S. Y. (1971) The structure of international interest rates: An extension of Hendershott's test. Journal of Finance 26, 897-900.
26. Levin, J. H. (1974) The Eurodollar market and the international transmission of interest rates. Canadian Journal of Economics 7, 205-224.
27. Lin, A. and Swanson, P. E. (1993) Measuring global money market inter-relationships: An investigation of five major world currencies. Journal of Banking and Finance 17, 609-628.
28. MacKinnon, J. G. (1991) Critical values for cointegration tests. In Long Run Economic Relationships, ed C.W.J. Granger, pp. 267-276. Oxford University Press, Oxford.
29. Osterwald-Lenum, M. (1992) A note with quartiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bulletin of Economics and Statistics 54, 461-472.
30. Perron, P. (1989) The great crash, the oil price shock, and the unit root hypothesis. Econometrica 57, 1361-1401.
31. Phillips, P. C. B. (1991) Optimal inference in cointegrated systems. Econometrica 59, 283-306.
32. Schnitzel, P. (1983) Testing for the direction of causality between the domestic monetary base and the Eurodollar system. Weltwirtschaftliches Archiv 119, 616-629.
33. Stock, J. H. and Watson, M. W. (1988) Testing for common trends. Journal of the American Statistical Association 83, 1097-1107.
34. Swanson, P. E. (1987) Capital market integration over the past decade: The case of the US Dollar. Journal of International Money and Finance 6, 215-225.
35. Swanson, P. E. (1988) Interrelationships among domestic and Eurocurrency deposit yields: A focus on the US Dollar. The Financial Review 23, 81-94.