Dynamic linkages between US and Eurodollar interest rates: new evidence from causality in quantiles
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DOI: 10.1007/s12197-020-09533-5
Abstract: Global markets have become more integrated, making co-movements of international interest rates possible. In this paper, we investigate the causal linkage between US and Eurodollar (London) interest rate using the Granger causality test in quantiles.… read more here.
Keywords: interest rate; causality; interest rates; interest ... See more keywords