Information transmission between Eurocurrency and domestic interest rates: evidence from the UK

Jian Yang ()

Applied Financial Economics, 2006, vol. 16, issue 9, 675-685

Abstract: This study examines mean and volatility linkages between the UK domestic and Europound interest rates during the 1983-2002 period. Recursive cointegration analysis identifies a structural break in the long-run relationship between the domestic and Europound rates around the September 1992 European currency crisis. Further subperiod analysis clearly shows that there exists feedback between the UK domestic and Europound rates during both subperiods and that both mean and volatility linkages have been weakened after the 1992 crisis.

Date: 2006
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DOI: 10.1080/09603100600687768

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