An Analysis of Co-Movements and Causality of International Interest Rates: The Case of Korea, Japan, and the U.S

Seung-Ryul Ma and Sang-Bum Park
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Sang-Bum Park: Daegu University and Dongseo University, Korea

The International Journal of Applied Economics, 2004, vol. 1, issue 1, 98-114

Abstract: In this study, co-movements and causality of international interest rates are analyzed. We use spectral analysis to find co-movements and lead and lag relationships and the transfer function model to examine causality. Using the Granger causality test, we identify unidirectional movements from the interest rates in Japan and the U.S. to those in Korea. The results show that there are dynamic relationships that as exogenous variables, the interest rates in Japan and the U.S. affected those in Korea.

Keywords: Spectral analysis; international interest rates; co-movement; and causality (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ija:ancoec:v:1:y:2004:i:1:p:98-114

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