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	Interest rate linkages in the Eurocurrency market: Contemporaneous and out-of-sample Granger causality tests
	Wang, Zijun ; Yang, Jian ; Li, Qi
	2010-05-11 ; 2010-05-11
关键词	interest rate linkages Granger causality forecasting evaluation contemporaneous correlation directed acyclic graphs EUROPEAN MONETARY-SYSTEM TIME-SERIES ANALYSIS PREDICTIVE ACCURACY COINTEGRATION EMS Business, Finance
中文摘要	This paper examines linkages among major Eurocurrency interest rates during 1994-2002. Eurocurrency interest rate causal linkages are found to be much stronger with additional allowance for contemporaneous causality test results than the inference based solely on Granger causality tests. The impact of U.S. interest rates is clearly not dominant in the Eurocurrency markets, while the Japanese interest rates are found to be quite influential. German interest rates both cause, and are caused by, several other Eurocurrency interest rates. By contrast, interest rates on the new currency, the Euro, do not have a substantial influence on other Eurocurrency interest rates, which underscores its emerging status. (c) 2006 Elsevier Ltd. All rights reserved.
语种	英语 ; 英语
出版者	ELSEVIER SCI LTD ; OXFORD ; THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/26255]
专题	清华大学
推荐引用方式 GB/T 7714	Wang, Zijun,Yang, Jian,Li, Qi. Interest rate linkages in the Eurocurrency market: Contemporaneous and out-of-sample Granger causality tests[J],2010, 2010.
APA	Wang, Zijun,Yang, Jian,&Li, Qi.(2010).Interest rate linkages in the Eurocurrency market: Contemporaneous and out-of-sample Granger causality tests..
MLA	Wang, Zijun,et al."Interest rate linkages in the Eurocurrency market: Contemporaneous and out-of-sample Granger causality tests".(2010).

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