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The International Transmission of Money Market Fluctuations

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  • Ahmad, Syed M
  • Sarver, Lee

Abstract

This study analyzes the interdependence of money markets in Belgium, Canada, France, Germany, Italy, Japan, The Netherlands, Switzerland, the United Kingdom, and the United States. The authors estimate a vector-autoregression system using daily data on three-month money market rates from December 31, 1979, through February 28, 1990. Consistent with the notion of informational efficiency, money markets respond very rapidly to a shock in any one country. The U.S. market plays a leading role, in that the aftereffects of a shock there are much stronger and last much longer than those of a shock elsewhere. In contrast with previous studies on stock markets, the responses are larger and more persistent, the markets are less interdependent, and the U.S. market is relatively less influential. Copyright 1994 by MIT Press.

Suggested Citation

  • Ahmad, Syed M & Sarver, Lee, 1994. "The International Transmission of Money Market Fluctuations," The Financial Review, Eastern Finance Association, vol. 29(3), pages 319-344, August.
    • Handle: RePEc:bla:finrev:v:29:y:1994:i:3:p:319-44
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    Cited by:

    1. Swanson, Peggy E., 2003. "The interrelatedness of global equity markets, money markets, and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 135-155.
    2. Hsieh, Nigel C. T. & Lin, Antsong & Swanson, Peggy E., 1999. "Global money market interrelationships," International Review of Economics & Finance, Elsevier, vol. 8(1), pages 71-85, January.

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