Mean Reversion of Interest Rates in the Eurocurrency Market
Mean Reversion of Interest Rates in the Eurocurrency Market
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Publisher
Oxford, UK and Boston, USA: Blackwell Publishers Ltd
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Language
English
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Publisher
Oxford, UK and Boston, USA: Blackwell Publishers Ltd
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Contents
One stylised fact to emerge from the empirical analysis of interest rates is that the unit‐root hypothesis in nominal interest rates cannot be rejected. However, using the panel date unit‐root test IM, Pesaran and Shin (1997), we find support for the mean‐reverting property of Eurocurrency rates. Thus, neither a vector‐error‐correction model nor a...
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Full title
Mean Reversion of Interest Rates in the Eurocurrency Market
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Record Identifier
TN_cdi_proquest_miscellaneous_38312662
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_38312662
Other Identifiers
ISSN
0305-9049
E-ISSN
1468-0084
DOI
10.1111/1468-0084.00229
