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Volatility transmission between foreign exchange and money markets / by Shafiq K. Ebrahim.: FB3-2/100-16E

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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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publications.gc.ca/pub?id=9.615320&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleVolatility transmission between foreign exchange and money markets / by Shafiq K. Ebrahim.
Series title
  • Working paper 1192-5434 2000-16
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital text-[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.
  • Résumés en français
Publishing information
  • Ottawa - Ontario : Bank of Canada 2000.
BindingSoftcover
Descriptionv, 42p. : graphs, references, tables ; 28 cm.
ISSN1192-5434
Catalogue number
  • FB3-2/100-16E
Subject terms
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