文章基本信息

标题：Excess Comovements between the Euro/US dollar and British pound/US dollar exchange rates
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作者：Michael Kühl
期刊名称：CeGE-Discussion Paper
印刷版ISSN：1439-2305
出版年度：2009
卷号：2009
出版社：Center for European, Governance and Economic Development
摘要：The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements indeed exist. A long-run analysis on correlations can verify that the correlations dynamics of exchange rates, relative inflation rates, long-term interest rates, economic sentiments and money supply are linked. We found that money supply and prices play major roles. From the investigation of our exchange rate pair it becomes obvious that non-fundamental factors in exchange rates have an important meaning for modelling foreign exchange rates.
关键词：Foreign Exchange Market, DCC-GARCH, Excess Comovements