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

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Author Info

  • Simón Sosvilla-Rivero

    ()
    (Universidad Complutense de Madrid. Instituto Complutense de Estudios Internacionales (ICEI))

  • María del Carmen Ramos-Herrera

    (Universidad Complutense de Madrid. Instituto Complutense de Estudios Internacionales (ICEI))

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://eprints.ucm.es/12898/1/WP_07-11.pdf
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Bibliographic Info

Paper provided by Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales in its series Working Papers del Instituto Complutense de Estudios Internacionales with number 07-11.

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Length: 18 pages
Date of creation: 2011
Date of revision:
Handle: RePEc:ucm:wpaper:07-11

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Related research

Keywords: causalidad; tipo de cambio; tipos de interés a largo plazo; procedimiento de regresión móvil con ventana fija; Causality; Exchange rate; Long-term interest rates; Rolling regression.;

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