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The empirical determinants of the Euro : short and long run perspectives

Chinn, Menzie David - 2000

The behavior of the dollar/euro exchange rate is modeled using a monetary model of the exchange rate. The econometric … analysis is complicated by the short sample span of actual euro data available for analysis. Hence, data on a "synthetic" euro …, is identified for the 1991M08-1999M12 period using the Johansen procedure. The model implies that the euro was …

Persistent link: https://www.econbiz.de/10009583879

Did the Fed surprise the markets in 2001? : a case study for VARs with sign restrictions

Uhlig, Harald - 2001

In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary policy shocks....

Persistent link: https://www.econbiz.de/10009618362

Money and prices : an I(2) analysis for the euro area

Holtemöller, Oliver - 2002

nominal money and the price level in the euro area are integrated of order two. This is confirmed by applying tests on double … ; Double unit roots ; I(2) model ; euro area money demand …

Persistent link: https://www.econbiz.de/10009620770

Money demand in Europe : evidence from the past

Müller-Kademann, Christian; Hahn, Elke - 2000

The conditions under which European monetary policy is likely to be conducted are investigated by means of multi-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis identifies two stable long-run relationships within a...

Persistent link: https://www.econbiz.de/10009583887

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

Testing the purchasing power parity in pooled systems of error correction models

Herwartz, Helmut; Reimers, Hans-Eggert - 2000

In this paper we test the purchasing power parity for the post Bretton Woods period for 18 main industrial countries. As base currencies we use alternatively the Deutsche mark, the Japanese yen, and the US dollar. We employ error correction models for single countries and on the level of pooled...

Persistent link: https://www.econbiz.de/10009612044

Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries

Holtemöller, Oliver (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916957