Maturities, Nonlinearities, and the International Transmission of Short-Term Interest Rates
| dc.creator | Mougoue, Mbodja | |
| dc.creator | Noula, Armand Gilbert | |
| dc.creator | Ajayi, Richard A. | |
| dc.date | 2017-04-01T14:03:29Z | |
| dc.date.accessioned | 2026-07-09T04:46:10Z | |
| dc.description | This paper employs linear and nonlinear Granger causality tests to re-examine the dynamic relation between daily Eurodollar and U.S. certificates of deposit rates during the July 16, 1973 to May 1, 2006 period. This study also conducts sub-period analysis based on the switching regression technique of Goldfield and Quant (GQSRT) (1972, 1973, and 1976). The main empirical findings are (1) Full-sample results show significant bi-directional linear causality from the CD and CD interest rates for one-month maturities and unidirectional linear causality between the EURO and CD interest rates for three-month and six-month maturities. Furthermore, full-sample results reveal for all three maturities. (2) Sub-sample results based on linear tests show a unidirectional causal relation from the CD rate to the EURO rate during the first sub-period for all three maturities. During the second sub-period, however, linear tests uncover a strong bi-directional relation between the CD and the Euro rates for all three maturities. The linear results for the third sub-period reveal mostly unidirectional causality from the EURO rate to the Cd for three maturities. (3) Finally, sub-sample nonlinear causality tests reveal mostly a unidirectional causality from the CD rate to the EURO rate for all three maturities during the first sub-sample, a strong significant bi-directional causality between the two rates for all three maturities during the second sub-period, and an uneven bi-directional causality between the two rates for all three maturities during the third sub-period. Overall, the results of this study show that the EURO rate’s role is becoming more prominent compared to that of the CD rate. | |
| dc.identifier | doi:10.22004/ag.econ.50009 | |
| dc.identifier | https://ageconsearch.umn.edu/record/50009/files/7-Mbodja%20Mougoue.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/50009 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/554631 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/50009 | |
| dc.title | Maturities, Nonlinearities, and the International Transmission of Short-Term Interest Rates | |
| dc.type | Text |