Download or read book The Cointegration of International Interest Rates written by Máiréad Devine and published by . This book was released on 1997 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Integration of International Long Term Interest Rates written by Ming-Shiun Pan and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we re-examine the relationship among interest rates on the long-term government bonds of five industrialized countries. Using both the variance ratio test and fractional cointegration analysis, we find significant evidence that indicates the five government bond rates are fractionally cointegrated. In specific, our results show that the error correction term of the system of the five interest rates follows a mean-reverting, fractionally integrated process.
Download or read book International Interest Rates Linkage written by Mehdi S. Monadjemi and published by . This book was released on 1996 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Dynamics of Real Interest Rates Real Exchange Rates and the Balance of Payments in China written by Mr.Zhongxia Jin and published by International Monetary Fund. This book was released on 2003-04-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on China's experience between 1980 and 2002, a cointegrated vector autoregression model was established to explore the relationships among real interest rates, real exchange rates and balance of payments in China. Taking into account institutional changes, the empirical study shows that significant and usually non-monotonic interactions exist between these three variables. The paper discusses theoretical and policy implications of the empirical result.
Download or read book Fractional Cointegration Analysis of Long Term International Interest Rates written by John T. Barkoulas and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: DeGennaro, Kunkel, and Lee (1994) studied the long run dynamics of a system of long term interest rates of five industrialized countries by means of sophisticated cointegration methods. They found little evidence in support of the cointegration hypothesis, thus concluding that a separate set of fundamentals drives the dynamics of each of the individual long term interest rate series. In this study, we extend their analysis by exploring the possibility of very slow mean reverting dynamics (fractional cointegration) in the system of the five long term interest rates. We use the GPH test as our testing methodology for fractional integration and cointegration. Through rigorous investigation of the full system of the five long term interest rate series and its various subsystems, we provide evidence that the error correction term follows a fractionally integrated process with long memory, that is, it is mean reverting, though not covariance stationary. Despite significant persistence in the short run, a shock to the system of long term interest rates eventually dissipates so that an equilibrium relationship prevails in the long run.
Download or read book Cointegration of International Stock Market Indices written by Mr.Ray Yeu-Tien Chou and published by International Monetary Fund. This book was released on 1994-08-01 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets.
Download or read book Government Debt Interest Rates and International Capital Flows written by Pene Kalulumia and published by . This book was released on 1999 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in International Money and Finance written by James R Lothian and published by World Scientific. This book was released on 2017-06-29 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the book is to make the author's scholarly research in the areas of international finance and monetary economics easily accessible to other researchers and students. The articles included in the book span a wide range. The topics include the behavior of the three key relations in international finance, purchasing power parity, interest rate parity and real interest rate equality, the relation between money and other key economic variables, financial globalization and the transmission of economic disturbances internationally.
Download or read book Modeling International Long Term Interest Rates written by Ramon P. DeGennaro and published by . This book was released on 2003 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the relationship among interest rates on the long-term governments bonds of five industrialized countries. Both standard and new unit root tests are applied, all of which confirm the presence of exactly one unit root. New cointegration tests are also applied to these data. In contrast to previous research on short-term bonds, stock prices, and exchange rates, these results find little evidence of cointegration among the five long-term interest rate series. Thus, when modeling or forecasting these central government long-term bond yields, one may assume separate sets of fundamentals and difference the data to achieve stationarity. An error correction model may not be appropriate.
Download or read book Transaction Costs Structural Change and the Integration of International Financial Markets written by Khalifa Ghali and published by . This book was released on 2008 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper argues that conventional tests of financial market integration may be misleading because they neglect to consider two important issues: (i) testing the existence of transaction costs and (ii) testing the existence of structural change. While the existence of transaction costs may inhibit the one-to-one correspondence between changes in real interest rates in different countries, it could also be misleading to assume the existence of such costs while they do not. Therefore, this paper's proposition is to test for the existence of transaction costs to motivate the inclusion of an intercept term in a cointegration equation of real interest rates. It is shown that this is possible using the Johansen (1994) procedure to test for the inclusion of deterministic components in the cointegration space. It is also noted that the empirical literature has neglected the problem of stability of financial markets and, hence, its consequences on financial integration tests. To solve these two issues, this paper proposes a model of financial market integration that allows for the existence of transaction costs and for the possibility of structural change. This alternative model generates much stronger support for interest parity than is found in the existing literature.
Download or read book The Long Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials written by Mr.Jun Nagayasu and published by International Monetary Fund. This book was released on 1999-03-01 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with data for a set of industrialized countries. The paper finds evidence of statistically significant long-run relationships and plausible point estimates, which contrasts with much existing evidence. The failure of others to establish such relationships may reflect the estimation method they use rather than any inherent deficiency of the fundamentals-based models.
Download or read book International Linkage of Real Interest Rates written by Philip Inyeob Ji and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interest Rates in Mexico written by Hoe Ee Khor and published by International Monetary Fund. This book was released on 1991-01-01 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores how interest rates on domestic financial assets in Mexico are linked to expectations of exchange rate changes and to perceptions about the default risks contained in Mexico’s external debt. It is shown that the interest rate differentials between peso- and U.S. dollar-denominated domestic assets reflected some concerns about the exchange rate policy during the period under study. In addition, the evidence suggests that the interest rate on a U.S. dollar-denominated Mexican domestic asset is linked (i.e., cointegrated) to the yield implicit in the secondary market price for external debt issued by Mexico.
Download or read book Real Interest Rate Parity written by Pierre L. Siklos and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the restrictions required for real interest rate parity to hold. Employing the multivariate cointegration procedure, allowances are made for exogenous events (such as oil price shocks and currency realignments within the EMS) which may have disturbed any underlying long-run relationship between variables. The results show that restrictions required for real interest rate parity are easily rejected for monthly euro-deposit data for six OECD countries, namely Canada, Belgium, the U.S., France, and Germany over the period 1975-1992. Findings also indicate that care must be taken in doing empirical work in this area because results can be sensitive to a number of important choices that must be made in specifying and interpreting results from cointegration tests.
Download or read book Global Transmission of Interest Rates written by Jeffrey A. Frankel and published by . This book was released on 2002 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a large sample of developing and industrialized economies during 1970-1999, this paper explores whether the choice of exchange rate regime affects the sensitivity of local interest rates to international interest rates. In most cases, we cannot reject full transmission of international interest rates in the long run, even for countries with floating regimes. Only large industrial countries can benefit, or choose to benefit, from independent monetary policy. However, short-run effects differ across regimes. Dynamic estimates show that interest rates of countries with more flexible regimes adjust more slowly to changes in international rates.
Download or read book Additional Evidenceon Ems Interest Rate Linkages written by Mr.John Thornton and published by International Monetary Fund. This book was released on 1996-10-01 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note examines interest rate linkages within the EMS. Cointegration tests suggest the existence of a long-run equilibrium relationship between German and other EMS interest rates. Bivariate VAR analysis finds that Granger-causality either stems from German to other European interest rates (Belgium, France, Spain, and the U.K.) or is bidirectional (Denmark and the Netherlands). When allowance is made for the influence of U.S. interest rates, the pattern of Granger causality is predominantly bidirectional.
Download or read book Testing the Expectations Hypothesis When Interest Rates are Near Integrated written by Meredith J. Beechey and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia.
