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dc.contributor.authorApergis, Nicholas*
dc.contributor.authorZestos, George*
dc.contributor.authorShaltayev, Dimitry*
dc.date.accessioned2019-03-14T17:37:12Z
dc.date.available2019-03-14T17:37:12Z
dc.date.issued2012-01
dc.identifier.urihttp://hdl.handle.net/10545/623571
dc.description.abstractThe study searches for an optimal Dollar–Euro exchange rate policy for the US and the Euro Area (EA) countries. To achieve this, it explores the causal links between the US Dollar–Euro exchange rate and three key macroeconomic variables. The empirical investigation is carried out in an Error Correction Vector Autoregressive (ECVAR) framework based on the theory of cointegration and error-correction representation of cointegrated variables. The results provide evidence in favor of the presence of a long-run relationship between the exchange rate and the spread between US and EA (Eurozone) interest rates. With respect to the direction of causality, the empirical findings show that in the long and short-run there is a uni-directional causal relationship between interest-rate spreads and the US Dollar–Euro exchange rate. This result constitutes a strong message for policy advising to fiscal and monetary authorities on both sides of the Atlantic, and beyond.en
dc.description.sponsorshipN/Aen
dc.language.isoenen
dc.publisherElsevieren
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectMacroeconomic factorsen
dc.subjectError Correction Vector Autoregressive modelen
dc.subjectCausality testsen
dc.subjectUS Dollar–Euro exchange rateen
dc.titleDo market fundamentals determine the Dollar–Euro exchange rate?en
dc.typeArticleen
dc.contributor.departmentUniversity of Piraeusen
dc.contributor.departmentChristopher Newport Universityen
dc.contributor.departmentChristopher Newport Universityen
dc.identifier.journalJournal of Policy Modelingen


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