An empirical examination of the inter-relationship of ex ante interest rates in global money and bond markets.

Description

Wong Pak Kin. / Year shown on spine: 1997. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1996. / Includes bibliograpical references. / Abstract --- p.i / Acknowledgment --- p.iii / Chapter Chapter I --- Introduction --- p.1 / Chapter Chapter II --- Literature Review --- p.6 / Chapter Chapter III --- Markets and Instruments / Chapter 3.1 --- International Money Markets --- p.15 / Chapter 3.1.1 --- Euro-deposit Market --- p.17 / Chapter 3.2 --- International Bond Markets --- p.20 / Chapter Chapter IV --- Preliminary Analysis of Data --- p.24 / Chapter 4.1 --- Data --- p.24 / Chapter 4.2 --- Descriptive Statistic Of Data Used In This Study --- p.29 / Chapter Chapter V --- Research Methodology / Chapter 5.1 --- Unit Root --- p.33 / Chapter 5.2 --- Cointegration and Error Correction Model --- p.37 / Chapter 5.2.1 --- Cointegration Using Engle and Granger Methodology --- p.39 / Chapter 5.2.2 --- Cointegration Using Johansen Methodology --- p.42 / Chapter Chapter VI --- Empirical Results / Chapter 6.1 --- Testing for Unit Root --- p.47 / Chapter 6.1.1 --- Short-term Interest Rates --- p.47 / Chapter 6.1.2 --- Long-term Interest Rates --- p.48 / Chapter 6.2 --- Testing for Cash-Futures Relationship --- p.54 / Chapter 6.3 --- Multivariate tests for Cointegration and VECM --- p.59 / Chapter 6.3.1 --- Cointegration in the International Money Markets --- p.63 / Chapter 6.3.2 --- Cointegration in the Interest Rate Futures Markets --- p.67 / Chapter 6.3.3 --- Cointegration in the International Bond Markets --- p.71 / Chapter 6.3.4 --- Cointegration in the Bond Futures Markets --- p.75 / Chapter Chapter VII --- Concluding Comment --- p.91 / Reference / Appendix

Links & Downloads

1. cuhk:322706
2. http://library.cuhk.edu.hk/record=b5889064
3. http://repository.lib.cuhk.edu.hk/en/item/cuhk-322706

Tags

Money market

Bond market

Interest rates

Additional Fields

Identifer	oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_322706
Date	January 1996
Contributors	Wong, Pak Kin., Chinese University of Hong Kong Graduate School. Division of Business Administration.
Source Sets	The Chinese University of Hong Kong
Language	English
Detected Language	English
Type	Text, bibliography
Format	print, 1 v. (various pagings) ; 30 cm.
Rights	Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)