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A note on Euroyen and domestic yen interest rates


  • Wai-Chung Lo
  • Hung-Gay Fung
  • Morse, Joel N.


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  • Wai-Chung Lo & Hung-Gay Fung & Morse, Joel N., 1995. "A note on Euroyen and domestic yen interest rates," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1309-1321, October.
  • Handle: RePEc:eee:jbfina:v:19:y:1995:i:7:p:1309-1321

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    References listed on IDEAS

    1. Swanson, Peggy E., 1988. "The international transmission of interest rates : A note on causal relationships between short-term external and domestic U.S. dollar returns," Journal of Banking & Finance, Elsevier, vol. 12(4), pages 563-573, December.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    3. Kwack, Sung Y, 1971. "The Structure of International Interest Rates: An Extension of Hendershott's Tests," Journal of Finance, American Finance Association, vol. 26(4), pages 897-900, September.
    4. Campbell, John Y. & Shiller, Robert J., 1988. "Interpreting cointegrated models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 505-522.
    5. Jay H. Levin, 1974. "The Eurodollar Market and the International Transmission of Interest Rates," Canadian Journal of Economics, Canadian Economics Association, vol. 7(2), pages 205-224, May.
    6. Campbell, John Y. & Clarida, Richard H., 1987. "The term structure of euromarket interest rates : An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 19(1), pages 25-44, January.
    7. Hartman, David G., 1984. "The international financial market and US interest rates," Journal of International Money and Finance, Elsevier, vol. 3(1), pages 91-103, April.
    8. Jorion, Philippe, 1992. "Term premiums and the integration of the eurocurrency markets," Journal of International Money and Finance, Elsevier, vol. 11(1), pages 17-39, February.
    9. Ashley, Richard, 1984. "A Simple Test for Regression Parameter Instability," Economic Inquiry, Western Economic Association International, vol. 22(2), pages 253-268, April.
    10. 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, vol. 15(3), pages 327-338, August.
    11. 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, vol. 48(3), pages 213-228, August.
    12. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    13. 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, vol. 22(3), pages 455-465, September.
    14. Allen B. Frankel & Paul B. Morgan, 1992. "Deregulation and competition in Japanese banking," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Aug, pages 579-593.
    15. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    16. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    17. Fung, Hung-Gay & Isberg, Steven C., 1992. "The international transmission of eurodollar and US interest rates: A cointegration analysis," Journal of Banking & Finance, Elsevier, vol. 16(4), pages 757-769, August.
    18. Takagi, Shinji, 1988. "Recent developments in Japan's bond and money markets," Journal of the Japanese and International Economies, Elsevier, vol. 2(1), pages 63-91, March.
    19. David G. Hartman, 1980. "The International Financial Market and U.S. Interest Rates," NBER Working Papers 0598, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Park, Jinwoo, 2001. "Information flows between non-deliverable forward (NDF) and spot markets: Evidence from Korean currency," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 363-377, August.
    2. Wang, Zijun & Yang, Jian & Li, Qi, 2007. "Interest rate linkages in the Eurocurrency market: Contemporaneous and out-of-sample Granger causality tests," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 86-103, February.
    3. Adam, Anokye M. & Tweneboah, George, 2008. "Do macroeconomic variables play any role in the stock market movement in Ghana?," MPRA Paper 9301, University Library of Munich, Germany.
    4. Tan Hock Ann, Albert & Alles, Lakshman, 2000. "An examination of causality and predictability between Australian domestic and offshore interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 83-106, January.
    5. Wai-Wah Cheung, Daniel & Wan-Sing Hung, Bill, 1998. "The international transmission of US, Eurodollar and Asian dollar interest rates: Some empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 77-86, May.
    6. Wilson H. S. Tong, 2001. "Cointegration, Efficiency and Forecasting in the Currency Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(1-2), pages 127-150.
    7. Mohammed Nishat & Rozina Shaheen, 2004. "Macroeconomic Factors and Pakistani Equity Market," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 619-637.

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