Similar Search Results

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

Consumption Smoothing Across States and Time: International Insurance vs. Foreign Loans

von Furstenberg, George M. - 2004

When countries, and macroeconomic models, open up to international capital markets, the welfare gains available through completion of financial markets for contingencies potentially are much greater than those available from access to noncontingent international borrowing. Intercasual insurance,...

Persistent link: https://www.econbiz.de/10010295640

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

Banking and sovereign risk in the euro area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - 2010

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that …

Persistent link: https://www.econbiz.de/10010300391

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

Exact tests and confidence sets for the tail coefficient of a-stable distributions

Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003

In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for … implementation of our estimation and test procedure. It turns out that our estimate can improve the efficiency of any estimator for a …

Persistent link: https://www.econbiz.de/10010295764

Evaluating the calibration of multi-step-ahead density forecasts using raw moments

Knüppel, Malte - 2011

The evaluation of multi-step-ahead density forecasts is complicated by the serial correlation of the corresponding probability integral transforms. In the literature, three testing approaches can be found which take this problem into account. However, these approaches can be computationally...

Persistent link: https://www.econbiz.de/10010307855

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