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...
| Autores: | , |
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| Formato: | informe técnico |
| Fecha de publicación: | 2011 |
| País: | España |
| Recursos: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/49015 |
| Acesso em linha: | https://hdl.handle.net/20.500.14352/49015 |
| Access Level: | acceso abierto |
| Palavra-chave: | Causality Exchange rate Long-term interest rates Rolling regression Causalidad tipo de cambio Tipos de interés a largo plazo Procedimiento de regresión móvil con ventana fija Econometría (Economía) Mercados bursátiles y financieros Economía internacional 5302 Econometría 5310 Economía Internacional |
| Resumo: | 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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