Mean Reversion of Interest Rates in the Eurocurrency Market
用面板单位根检验发现欧洲货币利率存在均值回归，不支持差分模型，而支持利率平价和收敛假说，对货币政策有效性有启示。
One stylised fact to emerge from the empirical analysis of interest rates is that the unit‐root hypothesis in nominal interest rates cannot be rejected. However, using the panel date unit‐root test IM, Pesaran and Shin (1997), we find support for the mean‐reverting property of Eurocurrency rates. Thus, neither a vector‐error‐correction model nor a vector autoregressive model in differences is appropriate for modelling Eurocurrency rates. Instead, conventional modelling strategies with level data are appropriate. Furthermore, the finding of stationary interest rates supports uncovered interest parity, and hence the convergence hypothesis of interest rates. This in turn suggests a limited role for a monetary authority to affect domestic interest rates.