Journal article
Short-term eurocurrency rate behavior and specifications of cointegrating processes
International review of economics & finance, v 9(2), pp 157-179
2000
Abstract
This article presents empirical evidence on short-term behavior based on seven Eurocurrency market rates. Empirical analysis suggests that there is two-dimensional cointegration. First, the domestic short-term interest rate is cointegrated with longer-term interest rates within a particular country. Second, the domestic short-term interest rate is cointegrated with the comparable foreign short-term interest rate adjusted for the foreign exchange forward premium (discount). The empirical evidence confirms that an error-correction model combining both dimensional market-correcting processes better explains short-term interest rate movements.
Metrics
9 Record Views
3 citations in Scopus
Details
- Title
- Short-term eurocurrency rate behavior and specifications of cointegrating processes
- Creators
- Thomas C. Chiang - Drexel UniversityDoseong Kim - Drexel UniversityDong Ho Kim - Psychology
- Publication Details
- International review of economics & finance, v 9(2), pp 157-179
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Psychological and Brain Sciences (Psychology); [Retired Faculty]
- Scopus ID
- 2-s2.0-0041727556
- Other Identifier
- 991019173853004721