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

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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Year of publication:	2011-03
Authors:	Sosvilla-Rivero, Simón ; Ramos-Herrera, María del Carmen
Institutions:	Asociación Española de Economía y Finanzas Internacionales - AEEFI
Subject:	Causality \| Exchange rate \| Long-term interest rates \| Rolling regression

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 11-01 15 pages
Classification:	C32 - Time-Series Models ; F31 - Foreign Exchange ; F33 - International Monetary Arrangements and Institutions ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008914772