Title: Determinants of euro-dollar exchange rate: an empirical analysis
Authors: Vivek Bhargava; Daniel Konku; Dheeraj Bhargava
Addresses: Graduate Business Programs, Alcorn State University, 9 Campus Drive, Natchez Mississippi 39120, USA. ' Northern Michigan University, 1401 Presque Isle Ave, Marquette, MI 49855, USA. ' Amity University, Noida, UP 201303, India
Abstract: This study investigates the determinants of euro-dollar exchange rate since the inception of euro in January 1999. Initial results show that relative changes in consumer confidence in the USA and the Eurozone (CCI), relative consumer price index (CPI), unemployment rate (UMP), and money supply (M1) are important in explaining the value of the euro relative to the US dollar. When accounted for autocorrelation and heteroscedasticity in the data, vector autoregression/vector error correction models (VAR/VECM) show that the euro-dollar exchange rate is impacted by only CCI and M1.
Keywords: exchange rates; exchange rate determinants; euro-dollar exchange rate; consumer confidence; USA; United States; Eurozone; consumer price index; relative CPI; unemployment rate; money supply; euro; dollar.
DOI: 10.1504/AAJFA.2012.048241
Afro-Asian Journal of Finance and Accounting, 2012 Vol.3 No.2, pp.121 - 135
Received: 01 Dec 2011
Accepted: 06 Feb 2012
Published online: 12 Apr 2013 *