Domestic and eurocurrency yields: Any exchange rate link? Evidence from a VAR model
Journal article
Authors | Apergis, Nicholas |
---|---|
Abstract | This paper examines the issue of the impact of domestic money markets on Eurocurrecy interest rates by taking into consideration the exchange rate changes for the case of four countries, namely, the United States, the United Kingdom, Germany, and Japan over the 1975–1993 time period. Granger causality tests conclude that as regards cases where the exchange rate is allowed freely to float there exists mutual influence between domestic interest rates and Eurocurrency yields. By contrast, in cases that the exchange rate is relatively fixed, it is the behavior of international money markets that determines the course of the domestic money market. |
Keywords | Domestic and eurocurrency yields; exchange rate; VAR modelling |
Year | 1997 |
Journal | Journal of Policy Modeling |
Publisher | Elsevier |
Web address (URL) | http://hdl.handle.net/10545/623573 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/623573 | |
Publication dates | Feb 1997 |
Publication process dates | |
Deposited | 14 Mar 2019, 17:37 |
Contributors | University of Macedonia |
File | File Access Level Open |
File | File Access Level Open |
https://repository.derby.ac.uk/item/92768/domestic-and-eurocurrency-yields-any-exchange-rate-link-evidence-from-a-var-model
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