Volatility transmission between foreign exchange and money markets / by Shafiq K. Ebrahim. : FB3-2/100-16E
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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| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Volatility transmission between foreign exchange and money markets / by Shafiq K. Ebrahim. |
| Titre de la série | Working paper1192-54342000-16 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Papier |
| Autres formats offerts | Électronique-[Anglais] |
| 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 |
| Information sur la publication | Ottawa - Ontario : Bank of Canada 2000. |
| Reliure | Softcover |
| Description | v, 42p. : graphs, references, tables ; 28 cm. |
| ISSN | 1192-5434 |
| Numéro de catalogue |
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| Descripteurs | Markets Exchange rates Interest rates |