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Título:
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The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis
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Autores:
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Sosvilla-Rivero, Simón ;
Ramos-Herrera, María del Carmen
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Tipo de documento:
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texto impreso
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Editorial:
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Instituto Complutense de Estudios Internacionales, 2011-07
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias Sociales: Economía: Econometría
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Materia = Ciencias Sociales: Economía: Mercados bursátiles y financieros
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Materia = Ciencias Sociales: Economía: Economía internacional
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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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En línea:
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https://eprints.ucm.es/id/eprint/12898/1/WP_07-11.pdf
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