Similar Search Results

Credit rating agency announcements and the eurozone sovereign debt crisis

Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of …-2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and …

Persistent link: https://www.econbiz.de/10010206145

How stable are monetary models of the Dollar-Euro exchange rate? : a time-varying coefficient approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009

exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro … (the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …

Persistent link: https://www.econbiz.de/10003898577

Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - 2011

This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...

Persistent link: https://www.econbiz.de/10009347974

When does it hurt? : the exchange rate "pain threshold" for German exports

Belke, Ansgar; Goecke, Matthias; Günther, Martin - 2009

euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play … area to about 1.55 US dollar per euro. In our interpretation, this is the current "pain threshold", where a strong spurt … reaction of exports to a further appreciation of the euro is expected to start. -- Exchange rate movements ; play hysteresis …

Persistent link: https://www.econbiz.de/10003891080

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen … dollar rate vis-à-vis the Euro and the Japanese Yen respectively. -- Fractional integration ; long memory ; exchange rates …

Persistent link: https://www.econbiz.de/10003931070

Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...

Persistent link: https://www.econbiz.de/10003974563

Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10009735715

Exchange rates, foreign currency exposure and sovereign risk

Bernoth, Kerstin; Herwartz, Helmut - 2019

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...

Persistent link: https://www.econbiz.de/10011977494

An investigation into the 1999 collapse of the Brazilian Real

Saqib, Omar Farooq - 2002

This study argues that the political considerations were an important factor behind the crisis of the Brazilian real in January 1999. The divided coalition government and a president facing impending elections eschewed the correction of external misalignments and the fiscal austerity at a time...

Persistent link: https://www.econbiz.de/10011436890

Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10009426696