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Interest Rates and Exchange Rates in Normal and Crisis Times

Caterina Forti Grazzini and Malte Rieth (mrieth@diw.de)

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

Abstract: The paper studies the relation between the US-Dollar/Euro exchange rate and US and euro area interest rates during normal and crisis times. We describe each asset price within a multifactor model and identify the causal contemporaneous relations through heteroskedasticity. We find that US rates and macroeconomic conditions dominate exchange rate and interest rate movements before and during the global financial crisis, while this pattern sharply reverses during the European debt crisis.

JEL-codes: E44 F31 G1 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-cba, nep-cta, nep-eec, nep-mac, nep-mon and nep-opm
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https://www.econstor.eu/bitstream/10419/168281/1/VfS-2017-pid-3560.pdf (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168281

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