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Common Factors in Eurocurrency Rates: A Dynamic Analysis

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Author Info

  • Drakos, Konstantinos

    ()
    (London Guildhall University)

Abstract

The 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 Info

Article provided by Center for Economic Integration, Sejong University in its journal Journal of Economic Integration.

Volume (Year): 17 (2002)
Issue (Month): ()
Pages: 164-184

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Handle: RePEc:ris:integr:0190

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Web page: http://econo.sejong.ac.kr/
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Related research

Keywords: Cointegration; Common Factors; Eurocurrency Market; Principal Component Analysis;

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Cited by:
  1. Damiana Giuseppina Costanzo & Damiano Bruno Silipo & Marianna Succurro, 2013. "Over-Indebtedness And Innovation: Some Preliminary Results," Working Papers 201304, Università della Calabria, Dipartimento di Economia, Statistica e Finanza (Ex Dipartimento di Economia e Statistica).
  2. Konstantinos Drakos, 2004. "A Note on Sector, Rating, and Maturity Effects on Risk Premia," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(3), pages 201-216, December.

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