This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the …

The structural VAR models for European countries (France, Denmark, and Germany) are developed to examine the monetary …

mark, Japanese yen, Swiss franc, French franc etc., have been occasionally serving as reserve currencies. The situation …

Kingdom, euro area, Japan and Canada versus the United States. A new identification strategy is proposed building on sign …