CROSS COUNTRY SPILLOVER EFFECTS IN FOREIGN EXCHANGE MARKET: An Empirical Analysis of Six OECD Countries
This article examines the extent of cross-country spillover effects with regard to the foreign exchange rates in an increasingly integrated world economy. Vector Autoregression methodologies are used to identify the spillover effects of one exchange rate changes on other exchange rates. Analysis of monthly data over 1973-1999 period for six OECD countries (Canada, France, Germany, Great Britain, Italy, and Japan) does indicate the existence of strong spillover effects or interdependence among the exchange rates for most of the countries considered in this study.
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