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

Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
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María del Carmen Ramos-Herrera: Universidad Complutense de Madrid. Instituto Complutense de Estudios Internacionales (ICEI)
Authors registered in the RePEc Author Service: Maria del Carmen Ramos Herrera ()

No 1107, Working Papers del Instituto Complutense de Estudios Internacionales from Universidad Complutense de Madrid, Instituto Complutense de Estudios 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: Causalidad; Tipo de cambio; Tipos de interés a largo plazo; Procedimiento de regresión móvil con ventana fija.; Causality; Exchange rate; Long-term interest rates; Rolling regression. (search for similar items in EconPapers)
Pages: 18 pages
Date: 2011
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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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