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Economics

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A multivariate cointegration analysis of interest rates in the Eurocurrency market

Article Abstract:

The study of the growing global money market confirms that it is correct to model interest rates on multivariate cointegrated system, interest rates are not ecluded from cointegration, and there were changes in the Euromarket interest rate from 1984-1994. The findings support the belief that the Euromarket interest rate comovements significantly increased. The analysis of the relations among interest rates on major currencies in the Eurocurrency market is situated within the period of deregulation and market globalization of 1984-1994.

Foreign Currency Management, Analysis, Europe, Eurocurrency market

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Balance of trade announcements and asset prices: influence on equity prices, exchange rates, and interest rates

Article Abstract:

A study was conducted to determine whether balance of trade announcements on asset prices affect equity prices, exchange rates and interest rates. It was found that the unexpected release of such news does affect these trade factors. It was further discovered that the sensitivity of such trade factors affected by the news depended on the time period and the policies of the Federal Reserve. Suggestions are made to include this sensitivity to the news in policy construction and in testing of asset pricing models.

Prices and rates, Economics, Foreign exchange rates, Balance of trade, Information theory, Business journalism, Information theory in economics

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International evidence on equity prices, interest rates and money

Article Abstract:

Money supply shocks exerted real liquidity effects in stock and bond markets for most of the G-7 nations and Holland during the post-war period. VAR models and long-term monetary neutrality showed the robustness of such findings in terms of potential problems that might result from implementation of infinite-horizon restrictions on models estimated from finite samples. A marked variation with regards to the degree of the effects of money supply shocks on asset prices was noted across countries.

Interest Rates, Money Supply, Liquidity (Finance)

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