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The Elasticity of Substitution across Maturities in International Capital Markets: A Simple Test
( Konstantinos Drakos ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 2005 Journal of Economic Integration Vol.20 No.4
The paper tests the hypothesis of a maturity-independent foreign exchange risk premium or equivalently of a constant elasticity of substitution of international assets across the maturity spectrum. The empirical findings indicate that elasticity of substitution is indeed a function of maturity. In addition, the premia are found to be a monotonic function of the maturity distance between assets.
Common Factors in Eurocurrency Rates: A Dynamic Analysis
( Konstantinos Drakos ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 2002 Journal of Economic Integration Vol.17 No.1
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 focus on their multivariate correlation structure decomposing it into common (systemic) and idiosyncratic components. The empirical analysis employs the Johansen Multivariate Cointegration methodology and the Principal Components Analysis in order to test for the presence of any dynamic common factors among the selected Eurocurrency interest rates. The findings provide evidence in favour of an integrated market.
Common Factors in Eurocurrency Rates : A Dynamic Analysis
Drakos, Konstantinos 세종대학교 국제경제연구소 2002 Journal of Economic Integration Vol.17 No.1
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 focus on their multivariate correlation structure decomposing it into common (systemic) and idiosyncratic components. The empirical analysis employs the Johansen Multivariate Cointegration methodology and the Principal Components Analysis in order to test for the presence of any dynamic common factors among the selected Eurocurrency interest rates. The findings provide evidence in favour of an integrated market.