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Journal of Economic Integration 2002 March;17(1) :164-184.
DOI: https://doi.org/10.11130/jei.2002.17.1.164
Common Factors in Eurocurrency Rates: A Dynamic Analysis
Konstantinos Drakos 
London Guildhall University
Copyright ©2002 Journal of Economic Integration
ABSTRACT
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.
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