The International Transmission of Money Market Fluctuations |
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Authors: | Syed M Ahmad Lee Sarver |
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Institution: | Hofstra University, Hempstead, NY 11550;Middle Tennessee State University, Murfreesboro, TN 37132 |
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Abstract: | This study analyzes the interdependence of money markets in Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Switzerland, the United Kingdom, and the United States. The authors estimate a vector-autoregression system using daily data on three-month money market rates from December 31, 1979, through February 28, 1990. Consistent with the notion of informational efficiency, money markets respond very rapidly to a shock in any one country. The U.S. market plays a leading role, in that the after-effects of a shock there are much stronger and last much longer than those of a shock elsewhere. In contrast with previous studies on stock markets, the responses are larger and more persistent, the markets are less interdependent, and the U.S. market is relatively less influential. |
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