Title

Testing For Causality In The Transmission Of Eurodollar And Us Interest Rates

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.

Publication Date

3-24-2009

Publication Title

Applied Financial Economics

Volume

19

Issue

6

Number of Pages

439-443

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1080/09603100801964420

Socpus ID

62549142721 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/62549142721

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