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Eurobond Market Integration

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Aspects of Globalisation

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Abstract

The paper explores the issue of integration in the Eurocurrency market. In particular, by using information from the short end of the Eurodollar, Euromark and the Eurosterling term structures we explore their dynamic links. The empirical analysis employs the Johansen Multivariate Cointegration methodology and the Principal Components Analysis in order to test for the presence of common dynamic factors among the selected Eurocurrency interest rates. The findings provide evidence in favour of an integrated market.

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Author information

Authors and Affiliations

  1. University of Patras, Patras

    Kostas Drakos

Authors
  1. Kostas Drakos
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Editor information

Editors and Affiliations

  1. London Metropolitan University, London, UK

    Christopher Tsoukis

  2. Hellenic Open University, Patra, Greece

    George M. Agiomirgianakis

  3. City University, London, UK

    George M. Agiomirgianakis

  4. Hull University, Hull, UK

    Tapan Biswas

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© 2004 Springer Science+Business Media New York

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Drakos, K. (2004). Eurobond Market Integration. In: Tsoukis, C., Agiomirgianakis, G.M., Biswas, T. (eds) Aspects of Globalisation. Springer, Boston, MA. https://doi.org/10.1007/978-1-4419-8881-2_9

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  • DOI: https://doi.org/10.1007/978-1-4419-8881-2_9

  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-1-4613-4703-3

  • Online ISBN: 978-1-4419-8881-2

  • eBook Packages: Springer Book Archive

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