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

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  • Simón Sosvilla-Rivero
  • María del Carmen Ramos-Herrera

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.

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File URL: http://www.aeefi.com/RePEc/pdf/defi11-01.pdf
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Bibliographic Info

Paper provided by Asociación Española de Economía y Finanzas Internacionales in its series Working Papers with number 11-01.

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Length: 15 pages
Date of creation: Mar 2011
Date of revision:
Handle: RePEc:aee:wpaper:1101

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Keywords: Causality; Exchange rate; Long-term interest rates; Rolling regression;

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