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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

On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates

Reitz, Stefan; Ruelke, Jan C.; Taylor, Mark P. - 2010

This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that...

Persistent link: https://www.econbiz.de/10010300359

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/10010295807

Fiscal institutions, fiscal policy and sovereign risk premia

Hallerberg, Mark; Wolff, Guntram B. - 2006

. The results are robust to controlling for country fixed effects and different estimation methodologies. …

Persistent link: https://www.econbiz.de/10010295824

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 convergence in the EMU? Evidence from micro data

Fischer, Christoph - 2009

The establishment of European monetary union (EMU) was widely expected to cause price convergence among member states. In an investigation of this claim, the present study avoids problems of comparability and representativeness by using an extremely detailed and comprehensive scanner database on...

Persistent link: https://www.econbiz.de/10010298753

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