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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Official URL: http://eprints.ucm.es/12898/
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 14:37 |
| Last Modified: | 11 Jul 2011 10:58 |
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