Eichler, Stefan - In: Applied Financial Economics 22 (2012) 15, pp. 1215-1232
I study the impact of financial crisis risk in the eurozone on the euro/US dollar exchange rate. Using daily data from 3 July 2006 to 30 September 2010, I find that the euro depreciates against the US dollar when banking or sovereign debt crisis risk increases in the eurozone. While the external...