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Exchange Rate Risk and Commodity Trade Between the U.S. and India

✍ Scribed by Mohsen Bahmani-Oskooee; Rajarshi Mitra

Publisher
Springer US
Year
2007
Tongue
English
Weight
146 KB
Volume
19
Category
Article
ISSN
0923-7992

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The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade and stock returns are highly correlated with no Granger‐causality in either direction. An EGARCH model shows that significant volatility spillove