The US dollar-euro exchange rate and US-EMU bond yield differentialsA causality analysis

  1. Sosvilla Rivero, Simón
  2. Ramos Herrera, María del Carmen
Revista:
Cuadernos de economía: Spanish Journal of Economics and Finance

ISSN: 2340-6704,  0210-0266

Año de publicación: 2012

Volumen: 35

Número: 98

Páginas: 117-128

Tipo: Artículo

DOI: 10.1016/S0210-0266(12)70028-6 DIALNET GOOGLE SCHOLAR lock_openBiblos-e Archivo editor

Otras publicaciones en: Cuadernos de economía: Spanish Journal of Economics and Finance

Resumen

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.

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Información de financiación

The authors thank the editor, Nikolas Müller-Plantenberg, and two anonymous referees for useful comments and suggestions. We are also grateful for the financial support from the Spanish Ministry of Science and Innovation (ECO2011-23189). María del Carmen Ramos-Herrera also acknowledges her grant (F.P.U.) from the Spanish Ministry of Science and Innovation (Ref. AP2008-004015).

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