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The US dollar-euro exchange rate and US-EMU bond yield differentials: A causality analysis

Author

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  • Simón Sosvilla-Rivero

    (Departamento de Economía Cuantitativa, Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid, Madrid, Spain)

  • María del Carmen Ramos-Herrera

    (Departamento de Economía Cuantitativa, Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid, Madrid, Spain)

Abstract

Este trabajo realiza un contraste de causalidad entre el tipo de cambio dólar estadounidense-euro y el diferencial de rendimiento de los bonos entre Estados Unidos y la Zona Euro. Para ello, se aplica el procedimiento secuencial de Hsiao (1981) a datos diarios para el período 1999-2011. Nuestros resultados sugieren la existencia de causalidad en el sentido de Granger estadísticamente significativa desde el diferencial de rendimiento de los bonos hacia el tipo de cambio, pero no a la inversa. Los resultados no cambian cuando se usan diferenciales de tipos de interés a corto plazo o cuando se analiza el tipo de cambio yen japonés¿euro, sin embargo, detectamos causalidad bidireccional de Granger entre el tipo de cambio libra esterlina-euro y el diferencial del tipo de interés a corto plazo entre el Reino Unido y la Zona Euro.

Suggested Citation

  • Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2012. "The US dollar-euro exchange rate and US-EMU bond yield differentials: A causality analysis," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 35(98), pages 117-128, Agosto.
    • Handle: RePEc:cud:journl:v:35:y:2012:i:98:p:117-128
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    References listed on IDEAS

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    More about this item

    Keywords

    Causality; Exchange rate; Long-term interest rates; Rolling regression;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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