Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates

Arbeitspapier

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements indeed exist. A long-run analysis on correlations can verify that the correlations dynamics of exchange rates, relative inflation rates, long-term interest rates, economic sentiments and money supply are linked. We found that money supply and prices play major roles. From the investigation of our exchange rate pair it becomes obvious that non-fundamental factors in exchange rates have an important meaning for modelling foreign exchange rates.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: cege Discussion Papers ; No. 89

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Markets and the Macroeconomy ; Foreign Exchange ; International Financial Markets
• Thema: Foreign Exchange Market ; DCC-GARCH ; Excess Comovements ; Wechselkurs ; Volatilität ; Euro ; US-Dollar ; Pfund Sterling ; Korrelation ; Schätzung ; Welt

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kühl, Michael
• Ereignis: Veröffentlichung
• (wer): University of Göttingen, Center for European, Governance and Economic Development Research (cege)
• (wo): Göttingen
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/41579
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ