Contents

Causal linkages between US and Eurodollar interest rates: further evidence

Yang, Jian / Shin, Jaeun / Khan, Moosa

Abstract

This study examines causal linkages between US and Eurodollar interest rates during 1983 - 2002. Recursive cointegration analysis shows that a stable cointegration relationship between the two interest rates emerges only since the early 1990s, when the Fed used federal funds rate targeting and eliminated the reserve requirement on Eurocurrency deposits. The study further reveals that bidirectional causality exists between the two rates over the period of 1993 to 2002, while unidirectional causality from Eurodollar rate to the US rate is found to exist over the period of 1983 to 1991. These findings consistently support increased interest rate linkages especially since the early 1990s.

Issue Date
2007-02
Publisher
ROUTLEDGE JOURNALS
Keywords
IMPULSE-RESPONSE ANALYSIS; MODELS
Citation
APPLIED ECONOMICS, v.39, no.2, pp.135 - 144, 2007
DOI
10.1080/00036840500428070
Journal Title
APPLIED ECONOMICS
Start Page
135
End Page
144
ISSN
0003-6846
Language
English
Files in This Item:
    There are no files associated with this item.

Click the button and follow the links to connect to the full text. (KDI CL members only)

qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.