Volatility transmission between foreign exchange and money markets / by Shafiq K. Ebrahim. : FB3-2/100-16E-PDF
This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche Mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.--Abstract
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Volatility transmission between foreign exchange and money markets / by Shafiq K. Ebrahim. |
| Series title | Bank of Canada working paper1701-93972000-16 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Other formats | Paper-[English] |
| Note(s) | "This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche Mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits."--Abstract. The ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication. Résumé en français. |
| Publishing information | Ottawa - Ontario : Bank of Canada August 2000. |
| Description | 53p.graphs, references, tables |
| ISSN | 1701-9397 |
| Catalogue number |
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| Subject terms | Markets Exchange rates Interest rates |