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Digitale Medien

Random Walks in World Money Rates (1996)

Chou, Nan Ting ; Dare, William H. ; Dukes, William ; [weitere]

Oxford, UK : Blackwell Publishing Ltd

Journal of business finance & accounting 23 (1996), S. 0

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ISSN: 1468-5957

Quelle: Blackwell Publishing Journal Backfiles 1879-2005

Thema: Wirtschaftswissenschaften

Notizen: Interest rate changes in major industrialized countries are examined and found to exhibit significant deviations from random walks. When measured over short horizons, interest rate changes demonstrate significant negative serial correlation. As the time horizon is extended, the negative dependencies decline and interest rate changes approach random walks. In general, the evidence suggests that short-term interest rate changes in major industrialized countries follow a mean-reverting process.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1111/1468-5957.00088

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