• Domestic and eurocurrency yields: Any exchange rate link? Evidence from a VAR model

      Apergis, Nicholas; University of Macedonia (Elsevier, 1997-02)
      This paper examines the issue of the impact of domestic money markets on Eurocurrecy interest rates by taking into consideration the exchange rate changes for the case of four countries, namely, the United States, the United Kingdom, Germany, and Japan over the 1975–1993 time period. Granger causality tests conclude that as regards cases where the exchange rate is allowed freely to float there exists mutual influence between domestic interest rates and Eurocurrency yields. By contrast, in cases that the exchange rate is relatively fixed, it is the behavior of international money markets that determines the course of the domestic money market.