An Empirical Examination of the Ex Ante International Interest Rate Transmission

Hung-Gay Fung and Wai-Chung Lo

The Financial Review, 1995, vol. 30, issue 1, 175-92

Abstract: 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. Copyright 1995 by MIT Press.

Date: 1995
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