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Central bank intervention and exchange rate expectations : evidence from the daily DM/US-Dollar exchange rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10011431685
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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/10003971081
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Fiscal institutions, fiscal policy and sovereign risk premia
Hallerberg, Mark (contributor);  … - 2006
. The results are robust to controlling for country fixed effects and different estimation methodologies. …
Persistent link: https://www.econbiz.de/10003383604
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; 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/10011431982
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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/10003815484
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The stable long-run CAPM and the cross-section of expected returns
Kurz-Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...
Persistent link: https://www.econbiz.de/10011431316
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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/10011418743
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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/10009129843
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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/10003964379
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Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR
Eickmeier, Sandra - 2009
globalen Finanzkrise besonders stark negativ betroffen waren. Mittels einer historischen Zerlegung wird schließlich der Beitrag …
Persistent link: https://www.econbiz.de/10003919815