A cointegration analysis of the Asian dollar and Eurodollar interest rate transmission mechanism

Hung Gay Fung; Steven C. Isberg; Wai K. Leung

doi:10.1007/BF01732894

A cointegration analysis of the Asian dollar and Eurodollar interest rate transmission mechanism

Hung Gay Fung, Steven C. Isberg, Wai K. Leung

Research output: Journal Publication › Article › peer-review

4 Citations (Scopus)

Abstract

The transmission mechanism between the Asian dollar and Eurodollar markets is investigated for the period 1981-1989 using a cointegration analysis and error correction model. Results indicate the absence of reverse causality in the Asian dollar market throughout the 1980s. In the Eurodollar market, reverse causality exists in the first half, but disappears in the second half of the decade. Both markets are evolving into rapid incorporation of prior interest rate information into current rates. These results are likely to be due to reduced market regulation, expansion of futures trading, more sophisticated telecommunications and 24-hour trading practices.

Original language	English
Pages (from-to)	167-177
Number of pages	11
Journal	Asia Pacific Journal of Management
Volume	9
Issue number	2
DOIs	https://doi.org/10.1007/BF01732894
Publication status	Published - Oct 1992
Externally published	Yes

ASJC Scopus subject areas

Business and International Management
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management

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10.1007/BF01732894

Cite this

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AB - The transmission mechanism between the Asian dollar and Eurodollar markets is investigated for the period 1981-1989 using a cointegration analysis and error correction model. Results indicate the absence of reverse causality in the Asian dollar market throughout the 1980s. In the Eurodollar market, reverse causality exists in the first half, but disappears in the second half of the decade. Both markets are evolving into rapid incorporation of prior interest rate information into current rates. These results are likely to be due to reduced market regulation, expansion of futures trading, more sophisticated telecommunications and 24-hour trading practices.

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A cointegration analysis of the Asian dollar and Eurodollar interest rate transmission mechanism

Abstract

ASJC Scopus subject areas

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