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

Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
Authors registered in the RePEc Author Service: Maria del Carmen Ramos Herrera ()

No 11-01, Working Papers from Asociación Española de Economía y Finanzas Internacionales

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.

Keywords: Causality; Exchange rate; Long-term interest rates; Rolling regression (search for similar items in EconPapers)
JEL-codes: C32 F31 F33 G15 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2011-03
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
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http://www.aeefi.com/RePEc/pdf/defi11-01.pdf (application/pdf)

Related works:
Journal Article: The US dollar-euro exchange rate and US-EMU bond yield differentials: A causality analysis (2012)
Working Paper: The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:aee:wpaper:1101

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