A NOTE ON EUROYEN AND DOMESTIC YEN INTEREST-RATES

被引：9

作者：

LO, WC

FUNG, HG

MORSE, JN

机构：

[1] UNIV MARYLAND,DEPT ECON & FINANCE,BALTIMORE,MD 21201

[2] CITY POLYTECH HONG KONG,KOWLOON,HONG KONG

来源：

JOURNAL OF BANKING & FINANCE | 1995年 / 19卷 / 07期

关键词：

EUROYEN; RATE TRANSMISSION; COINTEGRATION; FINANCIAL DEREGULATION AND FORECASTING;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines interest rate transmission between the London Euroyen market and the Japanese domestic CD market. The results, which span 1984 through the beginning of 1993, indicate that these two interest rate series are cointegrated. In the earlier part of the sample period, causality is strongest from the Euroyen market to domestic yen interest rates. However, strong feedback effects are observed in both directions in more recent years. The use of both vector autoregressive modeling and cointegration analysis for forecasting is supported over random walk models.

引用

页码：1309 / 1321

页数：13

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