Abstract

  


 



The US Dollar-Euro Exchange Rate and US-EMU Bond Yield Differentials: A Causality Analysis


Simón Sosvilla Rivero


Complutense University of Madrid

María Del Carmen Ramos-Herrera


Universidad Complutense de Madrid (UCM)
April 15, 2011


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.

Number of Pages in PDF File: 15

Keywords: Causality, Exchange rate, Long-term interest rates, Rolling regression

JEL Classification: C32, F31, F33, G15

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Date posted: April 21, 2011  

Suggested Citation

Sosvilla Rivero, Simón Javier and Ramos-Herrera, María Del Carmen, The US Dollar-Euro Exchange Rate and US-EMU Bond Yield Differentials: A Causality Analysis (April 15, 2011). Available at SSRN: http://ssrn.com/abstract=1810504 or http://dx.doi.org/10.2139/ssrn.1810504

Contact Information

Simón Javier Sosvilla Rivero (Contact Author)
Complutense University of Madrid ( email )
Carretera de Humera s/n
Madrid, Madrid 28223
Spain
+34913932626 (Phone)
HOME PAGE: http://www.ucm.es/info/ecocuan/ssr/
María Del Carmen Ramos-Herrera
Universidad Complutense de Madrid (UCM) ( email )
Carretera de Humera s/n
Madrid, Madrid 28223
Spain
Feedback to SSRN (Beta)


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