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The International Transmission of Money Market Fluctuations
Author(s) -
Ahmad Syed M.,
Sarver Lee
Publication year - 1994
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1994.tb00400.x
Subject(s) - money market , shock (circulatory) , economics , interdependence , vector autoregression , monetary economics , stock market , structural vector autoregression , stock (firearms) , financial economics , monetary policy , geography , political science , medicine , context (archaeology) , archaeology , law
This study analyzes the interdependence of money markets in Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Switzerland, the United Kingdom, and the United States. The authors estimate a vector‐autoregression system using daily data on three‐month money market rates from December 31, 1979, through February 28, 1990. Consistent with the notion of informational efficiency, money markets respond very rapidly to a shock in any one country. The U.S. market plays a leading role, in that the after‐effects of a shock there are much stronger and last much longer than those of a shock elsewhere. In contrast with previous studies on stock markets, the responses are larger and more persistent, the markets are less interdependent, and the U.S. market is relatively less influential.