A cointegration analysis of the Asian dollar and Eurodollar interest rate transmission mechanism
A cointegration analysis and error correction model are used to investigate the transmission mechanism between the Asian dollar and the Eurodollar markets for the period 1981-1989. Results indicate the absence of reverse causality in the Asian dollar market throughout the 1980s. In the Eurodollar ma...
Gespeichert in:
| Veröffentlicht in: | Asia Pacific journal of management 1992-10, Vol.9 (2), p.167-177 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 177 |
|---|---|
| container_issue | 2 |
| container_start_page | 167 |
| container_title | Asia Pacific journal of management |
| container_volume | 9 |
| creator | Fung, Hung-Gay Isberg, Steven C Leung, Wai K |
| description | A cointegration analysis and error correction model are used to investigate the transmission mechanism between the Asian dollar and the Eurodollar markets for the period 1981-1989. Results indicate the absence of reverse causality in the Asian dollar market throughout the 1980s. In the Eurodollar market, reverse causality exists in the first half but disappears in the second half of the decade. Both markets are evolving into rapid incorporation of prior interest rate information into current rates. These results are likely to be due to reduced market regulation, expansion of futures trading, more sophisticated telecommunications, and 24-hour trading practices. |
| doi_str_mv | 10.1007/BF01732894 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_228418878</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>947428</sourcerecordid><originalsourceid>FETCH-LOGICAL-c230t-9bafd1cf5df56518c75f57f761353ccdb2a53afeaddfda1470689b44af33887b3</originalsourceid><addsrcrecordid>eNp1kEtLw0AUhQdRsFY3_oJBd0J0HplHlrW0KhTc6DrezMOmJJk6ky76753SgitXl8v9zuGeg9AtJY-UEPX0vCRUcaar8gxNqFCsqCqhz9GEMKqKUkh6ia5S2pAMS0km6GuGTWiH0X1HGNswYBig26c24eDxuHZ4lloYsA1dBzEfLV7sYjitB110acRZ6_AYYUh9m9LBpndmDUOb-mt04aFL7uY0p-hzufiYvxar95e3-WxVGMbJWFQNeEuNF9YLKag2SnihvJKUC26MbRgIDt6Btd4CLRWRumrKEjznWquGT9Hd0Xcbw88uP1Vvwi7mMKlmTJc0QzpD9_9BlBNdMkaYzNTDkTIxpBSdr7ex7SHua0rqQ831X838FyCgcBM</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>228418878</pqid></control><display><type>article</type><title>A cointegration analysis of the Asian dollar and Eurodollar interest rate transmission mechanism</title><source>Business Source Complete</source><source>Periodicals Index Online</source><source>SpringerLink Journals - AutoHoldings</source><creator>Fung, Hung-Gay ; Isberg, Steven C ; Leung, Wai K</creator><creatorcontrib>Fung, Hung-Gay ; Isberg, Steven C ; Leung, Wai K</creatorcontrib><description>A cointegration analysis and error correction model are used to investigate the transmission mechanism between the Asian dollar and the Eurodollar markets for the period 1981-1989. Results indicate the absence of reverse causality in the Asian dollar market throughout the 1980s. In the Eurodollar market, reverse causality exists in the first half but disappears in the second half of the decade. Both markets are evolving into rapid incorporation of prior interest rate information into current rates. These results are likely to be due to reduced market regulation, expansion of futures trading, more sophisticated telecommunications, and 24-hour trading practices.</description><identifier>ISSN: 0217-4561</identifier><identifier>EISSN: 1572-9958</identifier><identifier>DOI: 10.1007/BF01732894</identifier><language>eng</language><publisher>Singapore: School of Management, National University of Singapore</publisher><subject>Causality ; Equilibrium ; Error correction & detection ; Eurodollars ; Foreign exchange futures ; Foreign exchange rates ; Hypotheses ; Interest rates ; International finance ; International markets ; Mathematical models ; Research methodology ; Securities markets ; Time series</subject><ispartof>Asia Pacific journal of management, 1992-10, Vol.9 (2), p.167-177</ispartof><rights>Copyright National University of Singapore, Faculty of Business Administration Oct 1992</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c230t-9bafd1cf5df56518c75f57f761353ccdb2a53afeaddfda1470689b44af33887b3</citedby><cites>FETCH-LOGICAL-c230t-9bafd1cf5df56518c75f57f761353ccdb2a53afeaddfda1470689b44af33887b3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,27869,27924,27925</link.rule.ids></links><search><creatorcontrib>Fung, Hung-Gay</creatorcontrib><creatorcontrib>Isberg, Steven C</creatorcontrib><creatorcontrib>Leung, Wai K</creatorcontrib><title>A cointegration analysis of the Asian dollar and Eurodollar interest rate transmission mechanism</title><title>Asia Pacific journal of management</title><description>A cointegration analysis and error correction model are used to investigate the transmission mechanism between the Asian dollar and the Eurodollar markets for the period 1981-1989. Results indicate the absence of reverse causality in the Asian dollar market throughout the 1980s. In the Eurodollar market, reverse causality exists in the first half but disappears in the second half of the decade. Both markets are evolving into rapid incorporation of prior interest rate information into current rates. These results are likely to be due to reduced market regulation, expansion of futures trading, more sophisticated telecommunications, and 24-hour trading practices.</description><subject>Causality</subject><subject>Equilibrium</subject><subject>Error correction & detection</subject><subject>Eurodollars</subject><subject>Foreign exchange futures</subject><subject>Foreign exchange rates</subject><subject>Hypotheses</subject><subject>Interest rates</subject><subject>International finance</subject><subject>International markets</subject><subject>Mathematical models</subject><subject>Research methodology</subject><subject>Securities markets</subject><subject>Time series</subject><issn>0217-4561</issn><issn>1572-9958</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1992</creationdate><recordtype>article</recordtype><sourceid>K30</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNp1kEtLw0AUhQdRsFY3_oJBd0J0HplHlrW0KhTc6DrezMOmJJk6ky76753SgitXl8v9zuGeg9AtJY-UEPX0vCRUcaar8gxNqFCsqCqhz9GEMKqKUkh6ia5S2pAMS0km6GuGTWiH0X1HGNswYBig26c24eDxuHZ4lloYsA1dBzEfLV7sYjitB110acRZ6_AYYUh9m9LBpndmDUOb-mt04aFL7uY0p-hzufiYvxar95e3-WxVGMbJWFQNeEuNF9YLKag2SnihvJKUC26MbRgIDt6Btd4CLRWRumrKEjznWquGT9Hd0Xcbw88uP1Vvwi7mMKlmTJc0QzpD9_9BlBNdMkaYzNTDkTIxpBSdr7ex7SHua0rqQ831X838FyCgcBM</recordid><startdate>199210</startdate><enddate>199210</enddate><creator>Fung, Hung-Gay</creator><creator>Isberg, Steven C</creator><creator>Leung, Wai K</creator><general>School of Management, National University of Singapore</general><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><scope>ICWRT</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7RO</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8AI</scope><scope>8AO</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>AXJJW</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FREBS</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>K8~</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>199210</creationdate><title>A cointegration analysis of the Asian dollar and Eurodollar interest rate transmission mechanism</title><author>Fung, Hung-Gay ; Isberg, Steven C ; Leung, Wai K</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c230t-9bafd1cf5df56518c75f57f761353ccdb2a53afeaddfda1470689b44af33887b3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1992</creationdate><topic>Causality</topic><topic>Equilibrium</topic><topic>Error correction & detection</topic><topic>Eurodollars</topic><topic>Foreign exchange futures</topic><topic>Foreign exchange rates</topic><topic>Hypotheses</topic><topic>Interest rates</topic><topic>International finance</topic><topic>International markets</topic><topic>Mathematical models</topic><topic>Research methodology</topic><topic>Securities markets</topic><topic>Time series</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Fung, Hung-Gay</creatorcontrib><creatorcontrib>Isberg, Steven C</creatorcontrib><creatorcontrib>Leung, Wai K</creatorcontrib><collection>CrossRef</collection><collection>Periodicals Index Online Segment 28</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>Global News & ABI/Inform Professional</collection><collection>Trade PRO</collection><collection>ProQuest Central (Corporate)</collection><collection>Asian Business Database</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>Asian Business Database (Alumni Edition)</collection><collection>ProQuest Pharma Collection</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Asian & European Business Collection</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>Asian & European Business Collection (Alumni)</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>DELNET Management Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Professional Standard</collection><collection>ABI/INFORM Global</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection><jtitle>Asia Pacific journal of management</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Fung, Hung-Gay</au><au>Isberg, Steven C</au><au>Leung, Wai K</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A cointegration analysis of the Asian dollar and Eurodollar interest rate transmission mechanism</atitle><jtitle>Asia Pacific journal of management</jtitle><date>1992-10</date><risdate>1992</risdate><volume>9</volume><issue>2</issue><spage>167</spage><epage>177</epage><pages>167-177</pages><issn>0217-4561</issn><eissn>1572-9958</eissn><abstract>A cointegration analysis and error correction model are used to investigate the transmission mechanism between the Asian dollar and the Eurodollar markets for the period 1981-1989. Results indicate the absence of reverse causality in the Asian dollar market throughout the 1980s. In the Eurodollar market, reverse causality exists in the first half but disappears in the second half of the decade. Both markets are evolving into rapid incorporation of prior interest rate information into current rates. These results are likely to be due to reduced market regulation, expansion of futures trading, more sophisticated telecommunications, and 24-hour trading practices.</abstract><cop>Singapore</cop><pub>School of Management, National University of Singapore</pub><doi>10.1007/BF01732894</doi><tpages>11</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0217-4561 |
| ispartof | Asia Pacific journal of management, 1992-10, Vol.9 (2), p.167-177 |
| issn | 0217-4561 1572-9958 |
| language | eng |
| recordid | cdi_proquest_journals_228418878 |
| source | Business Source Complete; Periodicals Index Online; SpringerLink Journals - AutoHoldings |
| subjects | Causality Equilibrium Error correction & detection Eurodollars Foreign exchange futures Foreign exchange rates Hypotheses Interest rates International finance International markets Mathematical models Research methodology Securities markets Time series |
| title | A cointegration analysis of the Asian dollar and Eurodollar interest rate transmission mechanism |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-05T07%3A09%3A00IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=A%20cointegration%20analysis%20of%20the%20Asian%20dollar%20and%20Eurodollar%20interest%20rate%20transmission%20mechanism&rft.jtitle=Asia%20Pacific%20journal%20of%20management&rft.au=Fung,%20Hung-Gay&rft.date=1992-10&rft.volume=9&rft.issue=2&rft.spage=167&rft.epage=177&rft.pages=167-177&rft.issn=0217-4561&rft.eissn=1572-9958&rft_id=info:doi/10.1007/BF01732894&rft_dat=%3Cproquest_cross%3E947428%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=228418878&rft_id=info:pmid/&rfr_iscdi=true |