Time Series Analysis of International Dollar Denominated Interest Rates
The yield levels and yield movements of Eurodollar rates are compared to yield level and yield movements of securities. Contrary to the previous studies, we could find no consistent and meaningful lead–lag relationship between U.S rates and Eurodollar rates. Additionally, we found that long‐term Eurodollar rates are not determined by long distributed lag of short–term rates. With and without capital controls and despite increased liquidity and more information there exist difference in yield levels and yield movements.© 1979 JIBS. Journal of International Business Studies (1979) 10, 39–52
Year of publication: |
1979
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Authors: | Finnerty, Joseph E ; Schneeweis, Thomas |
Published in: |
Journal of International Business Studies. - Palgrave Macmillan, ISSN 0047-2506. - Vol. 10.1979, 1, p. 39-52
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Publisher: |
Palgrave Macmillan |
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