00000nam##2200000za#4500 9.571558 CaOODSP 20211126112844 cr ||||||||||| 150406|2000||||xxc|||||o f|0| 0 eng|d 1701-9397 CaOODSP eng n-cn--- FB3-2/100-16E-PDF Bank of Canada. Volatility transmission between foreign exchange and money markets / [electronic resource] by Shafiq K. Ebrahim. Ottawa - Ontario : Bank of Canada August 2000. 53p. graphs, references, tables Bank of Canada working paper 1701-9397 2000-16 "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. 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 Résumé en français. 11-19-Supp 2011-09-23 Markets gcpds Exchange rates gcpds Interest rates gcpds Ebrahim, Shafiq K. Volatility transmission between foreign exchange and money markets / (CaOODSP)9.615320 Working paper (Bank of Canada) 1701-9397 2000-16 (CaOODSP)9.504604 http://publications.gc.ca PDF 539 KB https://publications.gc.ca/collections/Collection/FB3-2-100-16E.pdf 2000-16