INTERRELATIONSHIPS AMONG DOMESTIC AND EUROCURRENCY DEPOSIT YIELDS: A FOCUS ON THE U.S. DOLLAR
作者:
Peggy E. Swanson,
期刊:
Financial Review
(WILEY Available online 1988)
卷期:
Volume 23,
issue 1
页码: 81-94
ISSN:0732-8516
年代: 1988
DOI:10.1111/j.1540-6288.1988.tb00776.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTThe effectiveness of monetary and fiscal policy actions is partially dependent upon the degree of isolationism of the U.S. money markets. This paper extends the study of capital market integration by investigating the relationships between yields on various currency denominated deposits. The only identified impact of changes in U.S. dollar yields, at home or abroad, on other currency returns is through contemporaneous determination; no direct causality from U.S. to foreign yields is indicated. Several significant reverse causality relationships, however, are evident.
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