The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis
AbstractThis 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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Bibliographic InfoPaper provided by Asociación Española de Economía y Finanzas Internacionales in its series Working Papers with number 11-01.
Length: 15 pages
Date of creation: Mar 2011
Date of revision:
Causality; Exchange rate; Long-term interest rates; Rolling regression;
Other versions of this item:
- Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2011. "The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis," Working Papers del Instituto Complutense de Estudios Internacionales 07-11, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-16 (All new papers)
- NEP-CBA-2011-04-16 (Central Banking)
- NEP-EEC-2011-04-16 (European Economics)
- NEP-MON-2011-04-16 (Monetary Economics)
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