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dc.contributor.authorApergis, Nicholas
dc.contributor.authorZestos, G.
dc.contributor.authorShaltayev, D.
dc.date.accessioned2017-01-30T13:23:47Z
dc.date.available2017-01-30T13:23:47Z
dc.date.created2014-04-08T20:00:29Z
dc.date.issued2012
dc.identifier.citationApergis, Nicholas and Zestos, George K. and Shaltayev, Dmitriy S. 2012. Do Market Fundamentals Determine the Dollar-Euro Exchange Rate? Journal of Policy Modeling. 34 (1): pp. 1-15.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/31149
dc.identifier.doi10.1016/j.jpolmod.2011.10.003
dc.description.abstract

The study searches for an optimal Dollar–Euro exchange rate policy for the US and the Euro Area (EA) countries. To achieve this, it explores the causal links between the US Dollar–Euro exchange rate and three key macroeconomic variables. The empirical investigation is carried out in an Error Correction Vector Autoregressive (ECVAR) framework based on the theory of cointegration and error-correction representation of cointegrated variables. The results provide evidence in favor of the presence of a long-run relationship between the exchange rate and the spread between US and EA (Eurozone) interest rates. With respect to the direction of causality, the empirical findings show that in the long and short-run there is a uni-directional causal relationship between interest-rate spreads and the US Dollar–Euro exchange rate. This result constitutes a strong message for policy advising to fiscal and monetary authorities on both sides of the Atlantic, and beyond.

dc.publisherElsevier Inc.
dc.subjectCausality tests
dc.subjectUS Dollar–Euro exchange rate
dc.subjectMacroeconomic factors
dc.subjectError Correction Vector Autoregressive model
dc.titleDo Market Fundamentals Determine the Dollar-Euro Exchange Rate?
dc.typeJournal Article
dcterms.source.volume34
dcterms.source.startPage1
dcterms.source.endPage15
dcterms.source.issn0161-8938
dcterms.source.titleJournal of Policy Modeling
curtin.department
curtin.accessStatusFulltext not available


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