Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/47039
Título: The Euro and other major currencies floating against the U.S. dollar
Autores/as: Pérez Rodríguez, Jorge Vicente 
Clasificación UNESCO: 531008 Acuerdos monetarios internacionales
Palabras clave: Euro
Dólar
Fecha de publicación: 2006
Editor/a: 0197-4254
Publicación seriada: Atlantic Economic Journal 
Resumen: This paper discusses the interdependent effects of conditional volatilities in returns of the Euro and other major currencies against U.S. dollar exchange rates (spot rates) since the launch of the Euro, using, for this purpose, the daily data and dynamic conditional correlation (DCC)-GARCH model with country-specific effects. The following conclusions are drawn: there are volatility spillovers (contemporaneous and lagged) in the Euro, Yen, and British pound, the degree of the correlation is high between the Euro and British pound against the U.S. dollar, there is a very strong association between the ECB Euro reference rate (fixing rates) and U.S.-traded spot rates, and finally, the impulse-response of volatility (after the accession of new Member States to the European Union) rapidly diminishes in the spot markets, indicating a short-run dynamic effect.
URI: http://hdl.handle.net/10553/47039
ISSN: 0197-4254
DOI: 10.1007/s11293-006-9042-x
Fuente: Atlantic Economic Journal[ISSN 0197-4254],v. 34, p. 367-384
Colección:Artículos
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