Eurodollar Interest Research Articles

Information Transmission Across Eurodollar Futures Markets

Identical contracts traded at two distinct time zones but linked with a mutual offset system allow for round-the-clock trading. It is interesting to investigate the characteristics of information transmission in such a market. In this paper we employ GARCH specifications to model Eurodollar futures interest rate changes in IMM and in SIMEX. We employ the Causality-in-Variance test based on cross-correlation function to test hypotheses on the lead-lag relationships of volatilities between IMM and SIMEX. There is strong evidence of information transmission from IMM to SIMEX, and not vice-versa. However, during the 86 December till 88 September period, including contracts during the October 87 crash, there is evidence of causality also running from SIMEX to IMM.

The Euro-Dollar Deposit Multiplier: A Note

THIS NOTE IS a fuller comment on the derivation and estimation of the multiplier in the paper by the same authors, entitled, "The EuroDollar Deposit Multiplier: A Portfolio Approach," which appeared in Staff Papers, Vol. 21 (July 1974) pp. 307-28. In that paper the value of the multiplier was estimated on the assumption that the U.S. balance of payments deficit was insensitive to changes in the Euro-dollar interest