Synchronization and nonlinear interdependence of short-term interest rates: - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2010

Synchronization and nonlinear interdependence of short-term interest rates:

Résumé

In this paper we investigate the synchronization and nonlinear adjustment process of short-term interest rates for France, the US and the UK using the bi-directional feedback measures proposed by Geweke (1982).and appropriate smooth transition error-correction models (STECM). We find strong evidence of continual increases in bilateral synchronization of these interest rates from 2005 to 2009 as well as of their lead-lag causal interactions with a slight dominance of the US rate. Consistently, exogenous shifts in the US rate are found to lead those in France and the UK within a very short time spans from one to two days. Results from nonlinear modeling indicate that short-term interest rates converge towards a common equilibrium in the long-run in a nonlinear manner in that their time dynamics exhibit regime-switching behavior.
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Dates et versions

hal-00507820 , version 1 (01-08-2010)

Identifiants

  • HAL Id : hal-00507820 , version 1

Citer

Mohamed El Hedi Arouri, F. Jawadi, Duc Khuong Nguyen. Synchronization and nonlinear interdependence of short-term interest rates:. 2010. ⟨hal-00507820⟩
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