Common Factors in Eurocurrency Rates: A Dynamic Analysis
AbstractThe paper explores the issue of integration in the Eurocurrency market. In particular, by using information from the short end of the Eurodollar, Euromark and the Eurosterling term structures we focus on their multivariate correlation structure decomposing it into common (systemic) and idiosyncratic components. The empirical analysis employs the Johansen Multivariate Cointegration methodology and the Principal Components Analysis in order to test for the presence of any dynamic common factors among the selected Eurocurrency interest rates. The findings provide evidence in favour of an integrated market.
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Bibliographic InfoArticle provided by Center for Economic Integration, Sejong University in its journal Journal of Economic Integration.
Volume (Year): 17 (2002)
Issue (Month): ()
Cointegration; Common Factors; Eurocurrency Market; Principal Component Analysis;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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