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Price and volatility spillovers between interest rate and exchange value of the US dollar

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  • So, Raymond W.

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  • So, Raymond W., 2001. "Price and volatility spillovers between interest rate and exchange value of the US dollar," Global Finance Journal, Elsevier, vol. 12(1), pages 95-107.
    • Handle: RePEc:eee:glofin:v:12:y:2001:i:1:p:95-107
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    25. Bansal, Ravi, 1997. "An Exploration of the Forward Premium Puzzle in Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 369-403.
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    Cited by:

    1. Nikolaos Giannellis & Angelos Kanas & Athanasios P. Papadopoulos, 2010. "Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(4), pages 429-445, December.
    2. Wang, Yu Shan & Chueh, Yen Ling, 2013. "Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices," Economic Modelling, Elsevier, vol. 30(C), pages 792-798.
    3. PRITI Verma, 2016. "The Impact Of Exchange Rates And Interest Rates On Bank Stock Returns: Evidence From U.S. Banks," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 11(1), pages 124-139, April.
    4. Verma, Rahul & Verma, Priti, 2007. "Noise trading and stock market volatility," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 231-243, July.
    5. Luiz De Mello & Diego Moccero, 2009. "Monetary Policy and Inflation Expectations in Latin America: Long-Run Effects and Volatility Spillovers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(8), pages 1671-1690, December.
    6. Qin, Meng & Su, Chi-Wei & Tao, Ran, 2021. "BitCoin: A new basket for eggs?," Economic Modelling, Elsevier, vol. 94(C), pages 896-907.
    7. Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005. "Do fundamentals matter for the D-Mark/Euro-Dollar? A regime switching approach," Global Finance Journal, Elsevier, vol. 15(3), pages 321-335, February.
    8. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
    9. Obara, T., 2004. "Dynamics of Exchange Rate Fluctuations between Yen and the US-Dollar," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(1).
    10. Sheng-Yung Yang & Shuh-Chyi Doong, 2004. "Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 139-153, August.

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