Abstract
This study extends the money market integration literature in two ways. First, it analyzes dollar yield behavior within a multivariate cointegration framework as opposed to the usual bilateral approach based on stock adjustment models or Granger/Sims causality test variants. Second, the relationships between dollar yields in four different geographic markets-domestic U.S. (New York), Eurodollar (London), Singapore and Hong Kong-are analyzed, providing a more global perspective than earlier studies. The results indicate that: (1) simple autoregressive models are inadequate for studying interest rate relationships because the series are cointegrated; and (2) bivariate analysis of money market time series may yield misleading results.
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