Mean Reversion of Interest Rates in the Eurocurrency Market
Mean Reversion of Interest Rates in the Eurocurrency Market
复制标题
欧洲货币市场利率均值回归
DOI：
10.1111/1468-0084.00229
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发表时间：
2001
影响因子：
2.5
通讯作者：
Show
中科院分区：
文献类型：
--
作者：
Jyh‐Lin Wu;Show
从利率的实证分析中得出的一个程式化的事实是，名义利率的单位根假设不能被拒绝。然而，使用面板日期单位根检验IM，Pesaran和Shin（1997），我们发现支持欧洲货币利率的均值回复属性。因此，向量误差校正模型和向量自回归模型都不适合于模拟欧洲货币汇率。相反，传统的建模策略与水平数据是合适的。此外，固定利率的发现支持了未覆盖的利率平价，从而支持了利率的收敛假设。这反过来表明，货币当局影响国内利率的作用有限。版权所有2001年由布莱克韦尔出版有限公司
One stylised fact to emerge from the empirical analysis of interest rates is that the unit-root hypothesis in nominal interest rates cannot be rejected. However, using the panel date unit-root test IM, Pesaran and Shin (1997), we find support for the mean-reverting property of Eurocurrency rates. Thus, neither a vector-error-correction model nor a vector autoregressive model in differences is appropriate for modelling Eurocurrency rates. Instead, conventional modelling strategies with level data are appropriate. Furthermore, the finding of stationary interest rates supports uncovered interest parity, and hence the convergence hypothesis of interest rates. This in turn suggests a limited role for a monetary authority to affect domestic interest rates. Copyright 2001 by Blackwell Publishing Ltd