The Euro and Other Major Currencies Floating Against the U.S. Dollar
AbstractThis paper discusses the interdependent effects of conditional volatilities in returns of the Euro and other major currencies against U.S. dollar exchange rates (spot rates) since the launch of the Euro, using, for this purpose, the daily data and dynamic conditional correlation (DCC)–GARCH model with country-specific effects. The following conclusions are drawn: there are volatility spillovers (contemporaneous and lagged) in the Euro, Yen, and British pound, the degree of the correlation is high between the Euro and British pound against the U.S. dollar, there is a very strong association between the ECB Euro reference rate (fixing rates) and U.S.-traded spot rates, and finally, the impulse-response of volatility (after the accession of new Member States to the European Union) rapidly diminishes in the spot markets, indicating a short-run dynamic effect. Copyright International Atlantic Economic Society 2006
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Bibliographic InfoArticle provided by International Atlantic Economic Society in its journal Atlantic Economic Journal.
Volume (Year): 34 (2006)
Issue (Month): 4 (December)
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More information through EDIRC
C32; D72; F31; F33; DCC–GARCH models; impulse-response functions of volatility;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- D72 - Microeconomics - - Analysis of Collective Decision-Making - - - Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
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