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An Analysis of Co-Movements and Causality of International Interest Rates: The Case of Korea, Japan, and the U.S

Author

Listed:
  • Seung-Ryul Ma
  • Sang-Bum Park

    (Daegu University and Dongseo University, Korea)

Abstract

In this study, co-movements and causality of international interest rates are analyzed. We use spectral analysis to find co-movements and lead and lag relationships and the transfer function model to examine causality. Using the Granger causality test, we identify unidirectional movements from the interest rates in Japan and the U.S. to those in Korea. The results show that there are dynamic relationships that as exogenous variables, the interest rates in Japan and the U.S. affected those in Korea.

Suggested Citation

  • Seung-Ryul Ma & Sang-Bum Park, 2004. "An Analysis of Co-Movements and Causality of International Interest Rates: The Case of Korea, Japan, and the U.S," The International Journal of Applied Economics, Department of General Business, Southeastern Louisiana University, vol. 1(1), pages 98-114, September.
    • Handle: RePEc:ija:ancoec:v:1:y:2004:i:1:p:98-114
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    More about this item

    Keywords

    Spectral analysis; international interest rates; co-movement; and causality;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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