Eurocurrency interest rate linkages: A frequency domain analysis
AbstractWe investigate relations between Eurocurrency interest rates using frequency domain methods, which permit us to decompose test statistics into short-term and long-term causality measures. We document significant linkages between international interest rates. Specifically, we show that the euro plays an increasingly important role in global money markets. In fact, a subperiod analysis suggests that the euro interest rate leads the US dollar rate during the recent financial crisis. We discuss the implications of the findings for understanding global monetary policy dynamics as well as modeling and forecasting of short-term interest rates.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 20 (2011)
Issue (Month): 4 (October)
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Web page: http://www.elsevier.com/locate/inca/620165
Eurocurrency rate Frequency domain Causality Financial crisis;
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