Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/47039
Title: The Euro and other major currencies floating against the U.S. dollar
Authors: Pérez Rodríguez, Jorge Vicente 
UNESCO Clasification: 531008 Acuerdos monetarios internacionales
Keywords: Euro
Dólar
Issue Date: 2006
Publisher: 0197-4254
Journal: Atlantic Economic Journal 
Abstract: 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
Source: Atlantic Economic Journal[ISSN 0197-4254],v. 34, p. 367-384
Appears in Collections:Artículos
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