English, Article edition: An Analysis of Co-Movements and Causality of International Interest Rates: The Case of Korea, Japan, and the U.S. Seung-Ryul Ma; Sang-Bum Park

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/36762
Physical Description
  • article
Language
  • English

Edition details

Title
  • An Analysis of Co-Movements and Causality of International Interest Rates: The Case of Korea, Japan, and the U.S.
Author
  • Seung-Ryul Ma
  • Sang-Bum Park
Physical Description
  • article
Notes
  • In this study, co-movements and causality of international interest rates are analyzed. We use spectral analysis to find co-movements and lead and lag relationships and the transfer function model to examine causality. Using the Granger causality test, we identify unidirectional movements from the interest rates in Japan and the U.S. to those in Korea. The results show that there are dynamic relationships that as exogenous variables, the interest rates in Japan and the U.S. affected those in Korea.
  • Spectral analysis, international interest rates, co-movement, and causality
  • RePEc:ija:ancoec:v:1:y:2004:i:1:p:98-114
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment