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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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Time-varying exchange rate basket in China from 2005 to 2009
Fidrmuc, Jarko - 2010
We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in...
Persistent link: https://www.econbiz.de/10010270870
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Fool the markets?: Creative accounting, fiscal transparency and sovereign risk premia
Bernoth, Kerstin; Wolff, Guntram B. - 2006
We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase in both the official fiscal position and the expected...
Persistent link: https://www.econbiz.de/10010263922
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Nominal and real exchange rate models in South Africa: How robust are they?
Egert, Balazs - 2012
research seem to be sensitive to the sample period considered, alternative variable definition, data frequency and estimation … monetary model are not fully robust to data frequency and alternative estimation periods, either. Nevertheless, adding openness …
Persistent link: https://www.econbiz.de/10010283582
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The behavioural zloty/euro equilibrium exchange rate
Beza-Bojanowska, Joanna; MacDonald, Ronald - 2009
Poland is obligated to adopt the euro after the fulfilment, inter alia, of the exchange rate criterion which requires … estimate real Polish zloty/euro equilibrium rate. Although the main goal of our analysis is to compute measures of current and …
Persistent link: https://www.econbiz.de/10010264576
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Zooming out : the trade effect of the euro in historical perspective
Berger, Helge; Nitsch, Volker - 2005
currencies and adopted a new common currency, the euro. Several recent papers argue that the introduction of the euro has led (by … put the trade effect of the euro in historical perspective. We argue that the creation of the EMU was a continuation (or … integration, the euro's impact on trade disappears. Moreover, a significant part of the trend in European trade integration is …
Persistent link: https://www.econbiz.de/10010261162
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Financial integration, globalization, and real activity
De Nicolò, Gianni; Juvenal, Luciana - 2012
Using data for a large number of advanced and emerging market economies during 1982-2009, this paper examines the distinct impact of financial integration and globalization on several dimensions of real activity. We find that: (a) financial integration has progressed significantly worldwide,...
Persistent link: https://www.econbiz.de/10010280851
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The dynamics of international capital flows: Results from a dynamic hierarchical factor model
Förster, Marcel; Jorra, Markus; Tillmann, Peter - 2012
The present paper examines the degree of comovement of gross capital inflows, which is a highly sensitive issue for policy makers. We estimate a dynamic hierarchical factor model that is able to decompose inflows in a sample of 47 economies into (i) a global factor common to all types of flows...
Persistent link: https://www.econbiz.de/10010294392
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The Triffin dilemma again
Campanella, Edoardo - In: Economics: The Open-Access, Open-Assessment E-Journal 4 (2010) 2010-25, pp. 1-18
Tiny changes in the American monetary policy can have dramatic effects on the rest of the world because of dollar's double role of national and international currency. This is the Triffin dilemma. The paper shows how it works through three examples: price of commodities, dollarization, and the...
Persistent link: https://www.econbiz.de/10010301326