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The determinants of the euro-dollar exchange rate: synthetic fundamentals and a non-existing currency
Clostermann, Jörg; Schnatz, Bernd - 2000
At the beginning of 1999 the euro was launched as a common currency in 11 European countries. This paper addresses … empirically the medium to long-term forces driving the real euro-dollar exchange rate. Constructing a synthetic euro … determinants of the real euro-dollar exchange rate: the international real interest rate differential, relative prices in the …
Persistent link: https://www.econbiz.de/10010295690
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The Euro/Dollar exchange rate: Chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …
Persistent link: https://www.econbiz.de/10010274880
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Monetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreads
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011
In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...
Persistent link: https://www.econbiz.de/10010286429
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Currency blocs in the 21st century
Fischer, Christoph - 2011
economic variables determine a given country's currency bloc affiliation. The dollar bloc differs from the euro bloc in that …
Persistent link: https://www.econbiz.de/10010305207
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10010295747
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Testing for structural breaks in dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - 2009
structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and … correlated. We also apply the suggested test procedure to a US dataset used in Stock and Watson (2005) and a euro-area dataset …
Persistent link: https://www.econbiz.de/10010298752
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10010300360
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China and its Dollar exchange rate: A worldwide stabilizing influence?
McKinnon, Ronald; Schnabl, Gunther - 2011
We argue that criticism concerning the Chinese dollar peg is misplaced as no predictable link exists between the exchange rate and the trade balance of an international creditor economy. The stable nominal yuan/dollar rate is argued to have stabilized Chinese, East Asian and global growth....
Persistent link: https://www.econbiz.de/10010275052
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009
subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …
Persistent link: https://www.econbiz.de/10010274514
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A cross-country empirical analysis of international reserves
Cheung, Yin-Wong; Ito, Hiro - 2009
between developed and developing economies and is not stable over time. The estimation results indicate that, especially …
Persistent link: https://www.econbiz.de/10010271960