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International financial market integration and linkages of national interest rates

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References

1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
1987Forecasting and testing in co-integrated systems1,896 cited
1982International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence369 cited
1984Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions312 cited
1984Tests of rational expectations and no risk premium in forward exchange markets151 cited
1989Tests of international CAPM with time‐varying covariances147 cited
1993On Exchange Rates117 cited
1993A generalized uncovered interest parity model of exchange rates49 cited

Cited by

1995The determinants of real long-term interest rates41 cited
1997Derivatives Effect on Monetary Policy Transmission41 cited
1997Linkage in EMS term structures: evidence from common trend and transitory components38 cited
2000Real Interest Rate Parity under Regime Shifts and Implications for Monetary Policy34 cited
2001Linkages among Interest Rates in the United States, Germany and Norway32 cited
2001Testing for long horizon UIP using PPP-based exchange rate expectations30 cited

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1995The Determinants of Real Long-Term Interest Rates26 cited

1998On the Relation between Money and Derivatives and its Application to the International Monetary Market24 cited

2020Exploring the Cointegration Relation among Top Eight Asian Stock Markets22 cited

1996International linkages between short-term real interest rates19 cited

2007Dynamic linkages between international bond markets17 cited

2001International Interest-Rate Transmission and the “German Dominance Hypothesis” Within EMS17 cited

1999The Applied Cointegration Analysis for the Open Economy: A Critical Review8 cited