Information transmission between Eurocurrency and domestic interest rates: evidence from the UK
This study examines mean and volatility linkages between the UK domestic and Europound interest rates during the 1983-2002 period. Recursive cointegration analysis identifies a structural break in the long-run relationship between the domestic and Europound rates around the September 1992 European currency crisis. Further subperiod analysis clearly shows that there exists feedback between the UK domestic and Europound rates during both subperiods and that both mean and volatility linkages have been weakened after the 1992 crisis.
Volume (Year): 16 (2006)
Issue (Month): 9 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Dimitris Georgoutsos & George Kouretas, 2000.
"A Multivariate I(2) Cointegration Analysis Of German Hyperinflation,"
0001, University of Crete, Department of Economics, revised 00 Jul 2001.
- Dimitris Georgoutsos & Georgios Kouretas, 2004. "A Multivariate I(2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 29-41.
- Jian Yang, 2005. "Government bond market linkages: evidence from Europe," Applied Financial Economics, Taylor & Francis Journals, vol. 15(9), pages 599-610.
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July.
- Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998.
"Dating the Integration of World Equity Markets,"
NBER Working Papers
6724, National Bureau of Economic Research, Inc.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
- Jian Yang, 2003. "Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis," The Financial Review, Eastern Finance Association, vol. 38(4), pages 591-609, November.
- Taylor, Mark P & Tonks, Ian, 1989. "The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 332-36, May.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
- Maria Kasch-Haroutounian & Simon Price, 2001. "Volatility in the transition markets of Central Europe," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 93-105.
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:16:y:2006:i:9:p:675-685. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.