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Information transmission between Eurocurrency and domestic interest rates: evidence from the UK

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  • Jian Yang

Abstract

This study examines mean and volatility linkages between the UK domestic and Europound interest rates during the 1983-2002 period. Recursive cointegration analysis identifies a structural break in the long-run relationship between the domestic and Europound rates around the September 1992 European currency crisis. Further subperiod analysis clearly shows that there exists feedback between the UK domestic and Europound rates during both subperiods and that both mean and volatility linkages have been weakened after the 1992 crisis.

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  • Jian Yang, 2006. "Information transmission between Eurocurrency and domestic interest rates: evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 16(9), pages 675-685.
    • Handle: RePEc:taf:apfiec:v:16:y:2006:i:9:p:675-685
    DOI: 10.1080/09603100600687768
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    3. Bruce G. Resnick & Gary L. Shoesmith, 2011. "Information Transmission in the World Money Markets," European Financial Management, European Financial Management Association, vol. 17(1), pages 183-200, January.

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