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This paper finds empirical support for a Taylor (1993) type interest rate determination rule. The model is solved analytically, estimated and used for simulation, impulse response analyses and forecasting with quarterly time series data for the UK and annual time series data for Germany, France, Japan, the UK and the US. The results confirm that such rules implicitly exists during the period of analysis. [ABSTRACT FROM AUTHOR]

This article analyses volatility transmission across the swap markets of the US, Japan and the UK. The two-step procedure developed by Cheung and Ng (1996) is used to examine causality-in-mean and causality-in-variance among the three countries. The empirical findings indicate the existence of more causality-in-variance patterns during the time of financial crisis than in the normal period that preceded it. [ABSTRACT FROM AUTHOR]

Although the extreme tails of the distributions of equity returns tend to exhibit more negative than positive returns, very few studies have analysed how pervasive is skewness across entire distributions. We use daily returns on 6 international stock market indices from Britain, France, Germany, Italy, Japan and the United States over 24 years from January 1978 to February 2002 to search for skewness in the tails, in different intervals, and in the entire distributions using binomial distribution tests and two distribution free tests, the Wilcoxon Rank Sum Test and the Siegel-Tukey test. We find limited evidence of asymmetry in the tails, with more asymmetry close to the means. However, we find that the asymmetries closer to the means are statistically significant and consistent in a way that the asymmetry in the tails is not. We show via a Monte Carlo study that the Wilcoxon Rank Sum and Binomial Distribution test have good power inferring that the data are independent and identically distributed. [ABSTRACT FROM AUTHOR]

This study employs cointegration analysis to examine the long-run relationships in Prime and CD rates across the US, Canada, Japan, Germany, France and the UK. The nature and strength of the results are found to be contingent on the time periods investigated. While we are unable to reject the null hypothesis of noncointegration for the January 1972-December 1979 interval, there is substantial evidence of cointegration for the more recent January 1980-October 1989 interval. These results are indicative of a pattern of increasing integration among the international bank lending and borrowing markets, coinciding with the trend towards the globalization of banking activity. The evidence from the error correction model suggests that the US and Germany are the dominant countries in the bank lending and borrowing markets. The Prime and CD rates for these countries are seen to cause (in the Granger sense) the rates of other countries. [ABSTRACT FROM AUTHOR]