IDEAS home Printed from https://ideas.repec.org/a/cup/macdyn/v16y2012is2p232-251_00.html
   My bibliography  Save this article

Modeling Nonlinear And Heterogeneous Dynamic Links In International Monetary Markets

Author

Listed:
  • Arouri, Mohamed El Hedi
  • Jawadi, Fredj
  • Nguyen, Duc Khuong

Abstract

We use daily short-term interbank interest rates of France, the United Kingdom, and the United States to examine the dynamic links of international monetary markets from 2004 to 2009. Results from vector error-correction models and smooth-transition error-correction models show strong evidence of nonlinear and heterogeneous causalities between the three interest rates. We also find that changes in the U.S. interest rate deviations from the long-run equilibrium led those in France and in the United Kingdom by one to two days. Finally, the national interest rate nexus appears to converge in nonlinear fashion toward a steady state because it is subject to structural change beyond a certain rate threshold. Our findings have important implications for the actions of leading central banks (ECB, Bank of England, and U.S. Fed) because the joint behavior of short-term interest rates can be viewed as an indicator of the degree of central banks' policy interdependence.

Suggested Citation

  • Arouri, Mohamed El Hedi & Jawadi, Fredj & Nguyen, Duc Khuong, 2012. "Modeling Nonlinear And Heterogeneous Dynamic Links In International Monetary Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 16(S2), pages 232-251, September.
    • Handle: RePEc:cup:macdyn:v:16:y:2012:i:s2:p:232-251_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S136510051100037X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Energy Economics, Elsevier, vol. 40(C), pages 832-844.
    2. Jawadi, Fredj & Sousa, Ricardo M., 2013. "Money demand in the euro area, the US and the UK: Assessing the role of nonlinearity," Economic Modelling, Elsevier, vol. 32(C), pages 507-515.
    3. Moussa, Wajdi & Mgadmi, Nidhal & Béjaoui, Azza & Regaieg, Rym, 2021. "Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model," Resources Policy, Elsevier, vol. 74(C).
    4. repec:ipg:wpaper:2014-553 is not listed on IDEAS
    5. Arouri, Mohamed & Hammoudeh, Shawkat & Jawadi, Fredj & Nguyen, Duc Khuong, 2014. "Financial linkages between US sector credit default swaps markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 223-243.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:macdyn:v:16:y:2012:i:s2:p:232-251_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/mdy .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.