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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

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

Time and the price impact of a trade: A structural approach

Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - 2011

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

Persistent link: https://www.econbiz.de/10010308551

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

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

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

Price discovery on traded inflation expectations: does the financial crisis matter?

Schulz, Alexander; Stapf, Jelena - 2009

break-even inflation rates in the euro area and the US. For maturities up to 5 years new information comes from both the … swap and the bond markets. For longer maturities the swap market provides less and less information in the euro area. In …

Persistent link: https://www.econbiz.de/10010298999

The American consumer: Reforming, or just resting?

Carroll, Christopher D.; Slacalek, Jirka - 2009

American households have received a triple dose of bad news since the beginning of the current recession: The greatest collapse in asset values since the Great Depression, a sharp tightening in credit availability, and a large increase in unemployment risk. We present measures of the size of...

Persistent link: https://www.econbiz.de/10010303694

Crises, rescues, and policy transmission through international banks

Buch, Claudia M.; Koch, Cathérine Tahmee; Koetter, Michael - 2011

The World Financial Crisis has shaken the fundamentals of international banking and triggered a downward spiral of asset prices. To prevent a further meltdown of markets, governments have intervened massively through rescues measures aimed at recapitalizing banks and through liquidity support....

Persistent link: https://www.econbiz.de/10010306000

Lifecycle impacts of the financial and economic crisis on household optimal consumption, portfolio choice, and labor supply

Chai, Jingjing; Maurer, Raimond H.; Mitchell, Olivia S.; … - 2011

The direct financial impact of the financial crisis has been to deal a heavy blow to investment-based pensions; many workers lost a substantial portion of their retirement saving. The financial sector implosion produced an economic crisis for the rest of the economy via high unemployment and...

Persistent link: https://www.econbiz.de/10010308576