International linkages between short-term real interest rates

Fujihara, Roger A.; Mougoué, Mbodja

doi:10.1016/s1062-9769(96)90045-9

Cited by 19 publications

(12 citation statements)

References 64 publications

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“…Earlier studies (e.g. Karfakis and Moschos, 1990;Katsimbris and Miller, 1993;Fujihara and Mougoue, 1996) also report absence of cointegration among the major and regional (such as EMS) nominal or real interest rates. Finally, regarding the linkages among (short-term) interest rates between the German and the other EMS countries, Hassapis et al (1999), and Caporale and Pittis (1993) found that the cointegrability properly of these interest rates has been decreasing since the early 1990s owing to the widening of the Exchange Rate Mechanism exchange-rate fluctuation bands (from AE 3% to AE 15%).…”

Section: Cointegration Testsmentioning

confidence: 94%

Volatility linkages among interest rates: implications for global monetary policy

Laopodis

2002

Int. J Fin Econ

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This paper explores the effects of a greater integration among major capital markets from 1984 to 2001 on the conduct of global monetary policy. The methodological design is a multivariate vector moving average GARCH model which is suitable for examining the nature of the volatility spillover mechanism of long-term interest rates across markets. The empirical findings indicate that there have been stronger linkages among major bond markets since 1990 at the volatility level. The more synchronized behaviour of long-term interest rates across countries is evidenced by the speed and persistence with which disturbances in a particular market transmit to other markets. Such volatile behaviour affects the conduct of global monetary policy which now has to be done interactively among the world's major players.

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Section: Cointegration Testsmentioning

confidence: 94%

Volatility linkages among interest rates: implications for global monetary policy

Laopodis

2002

Int. J Fin Econ

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“…If the Euro interest rates indeed behave similarly to the former German Mark rates in relation to other countries, one would not expect to see significant changes in the transmission mechanisms following the introduction of the Euro. Fujihari and Mougoué (1996) conclude that the German Mark played an important dominant international role in predicting real interest rate behavior for other countries in the Euro-zone as well as in the UK. Hassapis, Pittis, and Prodomidis (1999) also conclude that the empirical evidence stemming from the short-term interest rate systems seems to support the dominant role of the German Mark.…”

mentioning

confidence: 89%

“…Germany is chosen to represent the Euro-zone because it is the largest member economy with 29% of the total GDP at the end of 2003. 2 Additionally, previous research has established the dominance of the German mark in Euro-zone countries (see, for example, Fujihari and Mougoué (1996), Hassapis et al (1999) and Galati and Ho, 2003). The data set contains daily observations of 6-month maturity yields on comparable Euro-denominated deposit bid-rates during the period from January 1, 1999 through August 13, 2003.…”

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confidence: 99%

The Euro deposit market in a global perspective

Jong

Swanson

2006

Global Finance Journal

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“…Arbitrage based interpretations of uncovered interest parity are proposed by Aliber (1973), Isard (1992) and Taylor (1995), amongst others. Empirical studies of uncovered and real interest parity include Cumby (1988), Cumby and Mishkin(1986), Dutton (1993), Fujihara and Mougoue (1996), Kneeshaw and Van den Bergh (1985), Lewis (1995), Mark (1985) and Mishkin (1984).…”

Section: Effectmentioning

confidence: 99%