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The Euro deposit market in a global perspective

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  • de Jong, Pieter J.
  • Swanson, Peggy E.

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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 16 (2006)
Issue (Month): 3 (March)
Pages: 354-365

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Handle: RePEc:eee:glofin:v:16:y:2006:i:3:p:354-365

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

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  3. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
  4. Detken, Carsten & Hartmann, Philipp, 2000. "The Euro and International Capital Markets," International Finance, Wiley Blackwell, Wiley Blackwell, vol. 3(1), pages 53-94, April.
  5. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  6. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 25-44, January.
  7. Carsten Detken & Philipp Hartmann, 2002. "Features of the euro's role in international financial markets," Economic Policy, CEPR;CES;MSH, CEPR;CES;MSH, vol. 17(35), pages 553-569, October.
  8. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, Econometric Society, vol. 69(6), pages 1519-1554, November.
  9. Hassapis, Christis & Pittis, Nikitas & Prodromidis, Kyprianos, 1999. "Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(1), pages 47-73, January.
  10. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 5(4), pages 455-61, October.
  11. 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.
  12. Hartmann, Philipp & Manna, Michele & Manzanares, Andrés, 2001. "The microstructure of the euro money market," Working Paper Series, European Central Bank 0080, European Central Bank.
  13. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, Elsevier, vol. 26(3), pages 409-430, September.
  14. Fujihara, Roger A. & Mougoue, Mbodja, 1996. "International linkages between short-term real interest rates," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 36(4), pages 451-473.
  15. Detken, Carsten & Hartmann, Philipp, 2000. "The euro and international capital markets," CFS Working Paper Series, Center for Financial Studies (CFS) 2000/09, Center for Financial Studies (CFS).
  16. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 54(3), pages 383-97, August.
  17. David G. Hartman, 1980. "The International Financial Market and U.S. Interest Rates," NBER Working Papers 0598, National Bureau of Economic Research, Inc.
  18. Philip Arestis & Andrew Brown & Kostas Mouratidis & Malcolm Sawyer, 2002. "The Euro: Reflections on the first three years," International Review of Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(1), pages 1-17.
  19. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1361-1401, November.
  20. 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.
  21. Gabriele Galati & Corrinne Ho, 2003. "Macroeconomic News and the Euro/Dollar Exchange Rate," Economic Notes, Banca Monte dei Paschi di Siena SpA, Banca Monte dei Paschi di Siena SpA, vol. 32(3), pages 371-398, November.
  22. 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.
  23. Monadjemi, Mehdi S., 1997. "International interest rates linkages: Evidence from OECD countries," International Review of Financial Analysis, Elsevier, Elsevier, vol. 6(3), pages 229-240.
  24. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  25. James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers, Queen's University, Department of Economics 1227, Queen's University, Department of Economics.
  26. 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.
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