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Testing for causality in the transmission of Eurodollar and US interest rates

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  • Richard Ajayi
  • Apostolos Serletis

Abstract

This article employs linear Granger causality tests and the nonlinear causality test of Baek and Brock (1992) and Hiemstra and Jones (1994), as recently modified by Diks and Panchenko (2005b), to re-examine the dynamic relation between daily Eurodollar and US certificate of deposit interest rates during the period 4 January 1971 to 15 July 2005. Although we find significant linear causality only from the US certificate of deposit interest rates to the Eurodollar interest rates, we find significant bidirectional nonlinear causality between Eurodollar and US certificate of deposit interest rates.

Suggested Citation

  • Richard Ajayi & Apostolos Serletis, 2009. "Testing for causality in the transmission of Eurodollar and US interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 439-443.
    • Handle: RePEc:taf:apfiec:v:19:y:2009:i:6:p:439-443
    DOI: 10.1080/09603100801964420
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    References listed on IDEAS

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    Cited by:

    1. Kenneth A. Tah & Geoffrey Ngene, 2021. "Dynamic linkages between US and Eurodollar interest rates: new evidence from causality in quantiles," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(1), pages 200-210, January.
    2. Xu, Xiaojie, 2014. "Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169809, Agricultural and Applied Economics Association.
    3. Ajmi, Ahdi N. & Gupta, Rangan & Kruger, Monique & Schoeman, Nicola & Walters, Leoné, 2016. "The Nonparametric Relationship between Oil and South African Agricultural Prices - La relazione nonparametrica tra il prezzo del petrolio e i prezzi dei prodotti agricoli in Sud Africa," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(2), pages 93-112.
    4. Ahdi N. Ajmi & Rangan Gupta & Monique Kruger & Nicola Schoeman & Leoné Walters, 2014. "The Nonparametric Relationship between Oil and South African Agricultural Prices," Working Papers 201461, University of Pretoria, Department of Economics.
    5. Xu Xiaojie, 2018. "Linear and Nonlinear Causality between Corn Cash and Futures Prices," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 16(2), pages 1-16, November.
    6. N. K. Kishor & H. A. Marfatia, 2013. "Does federal funds futures rate contain information about the treasury bill rate?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(16), pages 1311-1324, August.
    7. Xiaojie Xu, 2018. "Cointegration and price discovery in US corn cash and futures markets," Empirical Economics, Springer, vol. 55(4), pages 1889-1923, December.

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