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On the Time-varying Linkages among the London Interbank Offer Rates for Major European Currencies

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  • Go Tamakoshi
  • Shigeyuki Hamori

Abstract

We employ an asymmetric dynamic conditional correlation model to investigate the time-varying integration of the London Interbank Offered Rate (LIBOR) rates for three major European currencies -the euro (EUR), Swiss franc (CHF), and British pound (GBP). We assess the impacts of the global financial crisis and the European sovereign debt crisis on cross-currency dynamic correlations. Our findings suggest that the correlations are influenced more by negative innovations than by positive ones for the GBP-CHF and CHF-EUR pairs. While the global financial crisis increased the degree of interbank money market integration, the European debt crisis contrastingly decreased the dynamic correlations for each pair of LIBOR rates.

Suggested Citation

  • Go Tamakoshi & Shigeyuki Hamori, 2013. "On the Time-varying Linkages among the London Interbank Offer Rates for Major European Currencies," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(1), pages 46-53, January.
    • Handle: RePEc:jfr:ijfr11:v:4:y:2013:i:1:p:46-53
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    References listed on IDEAS

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    1. Toyoshima, Yuki & Tamakoshi, Go & Hamori, Shigeyuki, 2012. "Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 381-394.
    2. Go Tamakoshi & Shigeyuki Hamori, 2013. "An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis," The European Journal of Finance, Taylor & Francis Journals, vol. 19(10), pages 939-950, November.
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    Cited by:

    1. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 237-256.
    2. Pedro Pires Ribeiro & José Dias Curto, 2017. "Volatility spillover effects in interbank money markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 105-136, February.
    3. Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwari, 2015. "Contagion and Dynamic Correlation of the Main European Stock Index Futures Markets: A Time-frequency Approach," Post-Print hal-01376756, HAL.

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