Sosvilla Rivero, Simón Javier and Ramos-Herrera, Maria del Carmen (2011) The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis. [ Working Paper; nº 07/11, ]
Creative Commons Attribution Non-commercial.
Official URL: http://eprints.ucm.es/12898/
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|
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|Deposited On:||06 Jul 2011 12:37|
|Last Modified:||13 Feb 2015 12:38|
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