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Integration of LIBOR and Treasury bill yields over different monetary regimes

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  • Clinebell, John M.
  • Kahl, Douglas R.
  • Stevens, Jerry L.
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    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 11 (2000)
    Issue (Month): 1-2 ()
    Pages: 17-30

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    Handle: RePEc:eee:glofin:v:11:y:2000:i:1-2:p:17-30

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    Web page: http://www.elsevier.com/locate/inca/620162

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    1. Fung, Hung-Gay & Lo, Wai-Chung, 1995. "An Empirical Examination of the Ex Ante International Interest Rate Transmission," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 30(1), pages 175-92, February.
    2. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
    3. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
    4. Jay H. Levin, 1974. "The Eurodollar Market and the International Transmission of Interest Rates," Canadian Journal of Economics, Canadian Economics Association, Canadian Economics Association, vol. 7(2), pages 205-24, May.
    5. John Y. Campbell & Robert J. Shiller, 1989. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," NBER Working Papers 3153, National Bureau of Economic Research, Inc.
    6. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, Econometric Society, vol. 37(3), pages 424-38, July.
    7. David G. Hartman, 1980. "The International Financial Market and U.S. Interest Rates," NBER Working Papers 0598, National Bureau of Economic Research, Inc.
    8. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 74(1), pages 116-26, February.
    9. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, Elsevier, vol. 18(1), pages 167-181, January.
    10. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, Elsevier, vol. 35(1), pages 143-159, May.
    11. Patric H. Hendershott, 1967. "The Structure Of International Interest Rates: The U.S. Treasury Bill Rate And The Eurodollar Deposit Rate," Journal of Finance, American Finance Association, American Finance Association, vol. 22(3), pages 455-465, 09.
    12. Stephen Godfeld & Richard Quandt, 1973. "The Estimation Of Structural Shifts By Switching Regressions," NBER Chapters, National Bureau of Economic Research, Inc, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 473-483 National Bureau of Economic Research, Inc.
    13. Kwack, Sung Y, 1971. "The Structure of International Interest Rates: An Extension of Hendershott's Tests," Journal of Finance, American Finance Association, American Finance Association, vol. 26(4), pages 897-900, September.
    14. Swanson, Peggy E., 1987. "Capital market integration over the past decade: The case of the US dollar," Journal of International Money and Finance, Elsevier, Elsevier, vol. 6(2), pages 215-225, June.
    15. Sanders, Anthony B. & Unal, Haluk, 1988. "On the Intertemporal Behavior of the Short-Term Rate of Interest," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 23(04), pages 417-423, December.
    16. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
    17. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 28(4), pages 604-21, November.
    18. Fung, Hung-Gay & Isberg, Steven C., 1992. "The international transmission of eurodollar and US interest rates: A cointegration analysis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 16(4), pages 757-769, August.
    19. Kaen, Fred R & Hachey, George A, 1983. "Eurocurrency and National Money Market Interest Rates: An Empirical Investigation of Causality," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 15(3), pages 327-38, August.
    20. LeSage, James P, 1990. "A Comparison of the Forecasting Ability of ECM and VAR Models," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 72(4), pages 664-71, November.
    21. Arshanapalli, Bala & Doukas, John, 1994. "Common stochastic trends in a system of Eurocurrency rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 18(6), pages 1047-1061, December.
    22. Hartman, David G., 1984. "The international financial market and US interest rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 3(1), pages 91-103, April.
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