Journal of Banking & Finance Vol. 28 No. 9 2004
Term structure linkages surrounding the Plaza and Louvre accords: Evidence from Euro-rates and long-memory components
Abstract
Eurocurrency deposit rates for Germany, Japan, the UK and the US are used to investigate term structure linkages over the 1979–85 and 1986–01 periods. A single common trend drives the term structure in each country, with 1-month rates generally having little or no influence in setting the long-term trend. Cointegration and common factor analyses based on the intracurrency common factors suggest weaker integration of economic fundamentals following the Plaza Accord in 1986. However, using a 10-year moving window to examine the 1986–01 period, similar tests show that integration increased between the 1986–95 and 1988–97 periods, but declined again by 1992–01.
- DOI
- 10.1016/j.jbankfin.2003.07.003
- Volume
- 28
- Issue
- 9
- Pages
- 2051-2075
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib