Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/168281
Authors: 
Forti Grazzini, Caterina
Rieth, Malte
Year of Publication: 
2017
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Exchange Rates C14-V2
Abstract: 
The paper studies the relation between the US-Dollar/Euro exchange rate and US and euro area interest rates during normal and crisis times. We describe each asset price within a multifactor model and identify the causal contemporaneous relations through heteroskedasticity. We find that US rates and macroeconomic conditions dominate exchange rate and interest rate movements before and during the global financial crisis, while this pattern sharply reverses during the European debt crisis.
JEL: 
E44
F31
G1
Document Type: 
Conference Paper

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