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The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis

Sosvilla Rivero, Simón and Ramos-Herrera, Maria del Carmen (2011) The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis. [Working Paper or Technical Report]

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Abstract

This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)’s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality running one-way from bond yield differentials to the exchange rate, but not the other way around.

Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Causality, Exchange rate, Long-term interest rates, Rolling regression
Subjects:Social sciences > Economics > Econometrics
Social sciences > Economics > Stock exchanges
Social sciences > Economics > World economy
Series Name:Working Paper
Volume:UNSPECIFIED
Number:07/11
ID Code:12898
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Deposited On:06 Jul 2011 12:37
Last Modified:06 Feb 2014 09:35

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