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An Empirical Examination of the Ex Ante International Interest Rate Transmission
Author(s) -
Fung HungGay,
Lo WaiChung
Publication year - 1995
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.1540-6288.1995.tb00829.x
Subject(s) - eurodollar , libor , interest rate , treasury , economics , proxy (statistics) , futures contract , ex ante , interest rate swap , monetary economics , financial economics , macroeconomics , geography , archaeology , machine learning , computer science
Using U.S. Treasury bill and Eurodollar futures to proxy for domestic and external interest rates, respectively, this study examines ex ante interest rate transmission across markets for the period 1982‐1991. The results indicate that these interest rates are cointegrated and that they Granger‐cause each other, implying that both domestic and offshore interest rates move together and that both markets are integrated. Interest rate transmission is found to be more rapid in recent years, a result supporting the idea that the international financial markets are becoming more integrated.