An Empirical Examination of the Ex Ante International Interest Rate Transmission

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...

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Bibliographic Details
Published in:The Financial review (Buffalo, N.Y.) N.Y.), 1995-02, Vol.30 (1), p.175-192
Main Authors: Fung, Hung-Gay, Lo, Wai-Chung
Format: Article
Language:English
Subjects:
Economic theory
Interest rates
International finance
Statistical analysis
Studies
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Summary: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.
ISSN:0732-8516
1540-6288
DOI:10.1111/j.1540-6288.1995.tb00829.x