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Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities

Mehl, Arnaud; Cappiello, Lorenzo - 2007

This paper tests for uncovered interest parity (UIP) at distant horizons for the US and its main trading partners, including both mature and emerging market economies, also exploring the existence of nonlinearities. At long and medium horizons, it finds support in favour of the standard, linear,...

Persistent link: https://www.econbiz.de/10011604847

Exchange Rate Anchoring - Is there Still a De Facto US Dollar Standard?

Bracke, Thierry - 2011

The paper provides a measure of exchange rate anchoring behavior across 149 emerging market and developing economies for the 1980-2010 period. An extension of the Frankel and Wei (2008) methodology is used to determine whether exchange rates are pegged or floating, and in the case of pegs, to...

Persistent link: https://www.econbiz.de/10013124257

Estimating the financial crisis’ impact on potential output

Benati, Luca - In: Economics letters 114 (2012) 1, pp. 113-119

Persistent link: https://www.econbiz.de/10009517267

The impact of the euro on equity markets: a country and sector decomposition

Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008

This paper investigates whether comovements between euro area equity returns at national and industry level have … changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the … degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of …

Persistent link: https://www.econbiz.de/10011604952

Global liquidity glut or global savings glut? A structural VAR approach

Bracke, Thierry; Fidora, Michael - 2008

Since the late-1990s, the global economy is characterised by historically low risk premia and an unprecedented widening of external imbalances. This paper explores to what extent these two global trends can be understood as a reaction to three structural shocks in different regions of the global...

Persistent link: https://www.econbiz.de/10011604957

Joint estimation of the natural rate of interest, the natural rate of unemployment, expected inflation, and potential output

Benati, Luca; Vitale, Giovanni - 2007

output for the Euro area, the United States, Sweden, Australia, and the United Kingdom. Particular attention is paid to time … United States, and especially for the Euro area, and smaller for Australia and the United Kingdom. Overall, natural rate …

Persistent link: https://www.econbiz.de/10011604843