English, Article edition: Maturities, Nonlinearities, and the International Transmission of Short-Term Interest Rates Mougoue, Mbodja; Noula, Armand Gilbert; Ajayi, Richard A.

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Maturities, Nonlinearities, and the International Transmission of Short-Term Interest Rates
Author
  • Mougoue, Mbodja
  • Noula, Armand Gilbert
  • Ajayi, Richard A.
Physical Description
  • article
Notes
  • This paper employs linear and nonlinear Granger causality tests to re-examine the dynamic relation between daily Eurodollar and U.S. certificates of deposit rates during the July 16, 1973 to May 1, 2006 period. This study also conducts sub-period analysis based on the switching regression technique of Goldfield and Quant (GQSRT) (1972, 1973, and 1976). The main empirical findings are (1) Full-sample results show significant bi-directional linear causality from the CD and CD interest rates for one-month maturities and unidirectional linear causality between the EURO and CD interest rates for three-month and six-month maturities. Furthermore, full-sample results reveal for all three maturities. (2) Sub-sample results based on linear tests show a unidirectional causal relation from the CD rate to the EURO rate during the first sub-period for all three maturities. During the second sub-period, however, linear tests uncover a strong bi-directional relation between the CD and the Euro rates for all three maturities. The linear results for the third sub-period reveal mostly unidirectional causality from the EURO rate to the Cd for three maturities. (3) Finally, sub-sample nonlinear causality tests reveal mostly a unidirectional causality from the CD rate to the EURO rate for all three maturities during the first sub-sample, a strong significant bi-directional causality between the two rates for all three maturities during the second sub-period, and an uneven bi-directional causality between the two rates for all three maturities during the third sub-period. Overall, the results of this study show that the EURO rate’s role is becoming more prominent compared to that of the CD rate.
  • Eurodollar interest rates, CD interest rates, linear and nonlinear causality, financial market integration, Farm Management, International Relations/​Trade, F3, C1,
  • RePEc:ags:reapec:50009
Language
  • English
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