Time Series Analysis of International Dollar Denominated Interest Rates

Joseph E Finnerty and Thomas Schneeweis

Journal of International Business Studies, 1979, vol. 10, issue 1, 39-52

Abstract: The yield levels and yield movements of Eurodollar rates are compared to yield level and yield movements of securities. Contrary to the previous studies, we could find no consistent and meaningful lead–lag relationship between U.S rates and Eurodollar rates. Additionally, we found that long‐term Eurodollar rates are not determined by long distributed lag of short–term rates. With and without capital controls and despite increased liquidity and more information there exist difference in yield levels and yield movements.© 1979 JIBS. Journal of International Business Studies (1979) 10, 39–52

Date: 1979
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.palgrave-journals.com/jibs/journal/v10/n1/pdf/8490628a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/jibs/journal/v10/n1/full/8490628a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:jintbs:v:10:y:1979:i:1:p:39-52

Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/41267/PS2

Access Statistics for this article

Journal of International Business Studies is currently edited by John Cantwell

More articles in Journal of International Business Studies from Palgrave Macmillan, Academy of International Business
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().