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Forecasting the real output using fractionally integrated techniques

Gil-Alaña, Luis A. - 2001

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...

Persistent link: https://www.econbiz.de/10009613608

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

The fundamental determinants of the real exchange rate of the US dollar relative to other G-7 currencies

Stein, Jerome L. - 1995

Persistent link: https://www.econbiz.de/10000554604

What determines real exchange rates? : The long and short of it

MacDonald, Ronald - 1997

Persistent link: https://www.econbiz.de/10000961158

Current account reversals and currency crises : empirical regularities

Milesi-Ferretti, Gian Maria; Razin, Asaf - 1998

Persistent link: https://www.econbiz.de/10000992355

Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...

Persistent link: https://www.econbiz.de/10009616784

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

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

Persistent link: https://www.econbiz.de/10009615423

Fractional integration and the dynamics of UK unemployment

Gil-Alaña, Luis A.; Henry, S. G. B. - 2000

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...

Persistent link: https://www.econbiz.de/10009582384