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The Term Structure Of Interest Rates As A Cointegrated System: Empirical Evidence From The Eurocurrency Market

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  • Mbodja Mougoué

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  • Mbodja Mougoué, 1992. "The Term Structure Of Interest Rates As A Cointegrated System: Empirical Evidence From The Eurocurrency Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(3), pages 285-296, September.
    • Handle: RePEc:bla:jfnres:v:15:y:1992:i:3:p:285-296
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1992.tb00806.x
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    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    2. repec:bla:jfinan:v:44:y:1989:i:1:p:167-81 is not listed on IDEAS
    3. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    4. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    5. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
    6. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    7. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    8. Campbell, John Y & Shiller, Robert J, 1984. "A Simple Account of the Behavior of Long-Term Interest Rates," American Economic Review, American Economic Association, vol. 74(2), pages 44-48, May.
    9. repec:bla:jfinan:v:43:y:1988:i:4:p:933-48 is not listed on IDEAS
    10. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-461, October.
    11. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
    12. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    13. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 14(1), pages 173-224.
    14. Meese, R. & Rogoff, K., 1988. "Was It Real? The Exchange Rate-Interest Differential Ralation Over The Modern Floating-Rate Period," Working papers 368, Wisconsin Madison - Social Systems.
    15. Meese, Richard A & Singleton, Kenneth J, 1982. "On Unit Roots and the Empirical Modeling of Exchange Rates," Journal of Finance, American Finance Association, vol. 37(4), pages 1029-1035, September.
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    Cited by:

    1. Ram Bhar, 1994. "Yield Curve as a Cointegrated System: Evidence from Australian Treasury Securities," Working Paper Series 35, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Patel, Ajay & Shoesmith, Gary L., 2004. "Term structure linkages surrounding the Plaza and Louvre accords: Evidence from Euro-rates and long-memory components," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2051-2075, September.
    3. Sanjay Ramchander & Marc Simpson & Mukesh Chaudhry, 2003. "The impact of inflationary news on money market yields and volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 85-101, March.
    4. Kozicki, Sharon & Tinsley, P A, 1998. "Moving Endpoints and the Internal Consistency of Agents' Ex Ante Forecasts," Computational Economics, Springer;Society for Computational Economics, vol. 11(1-2), pages 21-40, April.
    5. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
    6. Sharon Kozicki & Peter A. Tinsley, "undated". "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics.
    7. Clinebell, John M. & Kahl, Douglas R. & Stevens, Jerry L., 2000. "Integration of LIBOR and Treasury bill yields over different monetary regimes," Global Finance Journal, Elsevier, vol. 11(1-2), pages 17-30.
    8. Chiang, Thomas C., 1997. "Time series dynamics of short-term interest rates: evidence from Eurocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 201-220, October.
    9. Michael Bowe & Nikolaos Mylonidis, 1999. "Is the European Capital Market Ready for the Single Currency?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1‐2), pages 1-32, January.
    10. John Barkoulas & Christopher F. Baum & Gurkan S. Oguz, 1996. "Fractional Cointegration Analysis of Long Term International Interest Rates," Boston College Working Papers in Economics 315., Boston College Department of Economics.
    11. Chiang, Thomas C. & Chiang, Jeanette Jin, 1995. "Emperical analysis of short-term eurocurrency rates: Evidence from a transfer function error correction model," Journal of Economics and Business, Elsevier, vol. 47(4), pages 335-351, October.

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