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	Provedor de dados AgEcon (1) Autor Ajayi, Richard A. (1) Mougoue, Mbodja (1) Noula, Armand Gilbert (1) Palavra-chave C1 (1) CD interest rates (1) Eurodollar interest rates (1) F3 (1) Farm Management (1) Financial market integration (1) International Relations/Trade (1) Linear and nonlinear causality (1) Mais... Tipo do documento Journal Article (1) Ano 2008 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última Maturities, Nonlinearities, and the International Transmission of Short-Term Interest Rates AgEcon Mougoue, Mbodja; Noula, Armand Gilbert; Ajayi, Richard A.. 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... Tipo: Journal Article Palavras-chave: Eurodollar interest rates; CD interest rates; Linear and nonlinear causality; Financial market integration; Farm Management; International Relations/Trade; F3; C1. Ano: 2008 URL: http://purl.umn.edu/50009 Registros recuperados: 1 Primeira ... 1 ... Última

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