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Volatility Dependence Across Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures Markets
Colavecchio, Roberta - 2007
This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...
Persistent link: https://www.econbiz.de/10012729229
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Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets
Colavecchio, Roberta; Funke, Michael - Institut für Makroökonomie und Wirtschaftspolitik, … - 2007
This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...
Persistent link: https://www.econbiz.de/10005247756
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Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets
Colavecchio, Roberta; Funke, Michael - Hong Kong Institute for Monetary Research (HKIMR), … - 2009
This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...
Persistent link: https://www.econbiz.de/10005357432
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Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Colavecchio, Roberta; Funke, Michael - Institut für Makroökonomie und Wirtschaftspolitik, … - 2008
This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005. To account for the time-variability of conditional correlation, a dynamic...
Persistent link: https://www.econbiz.de/10005823534
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Drifting together of falling apart? The empirics of regional economic growth in post-unification Germany
Funke, Michael; Colavecchio, Roberta; Curran, Declan - Institut für Makroökonomie und Wirtschaftspolitik, … - 2011
The objective of this paper is to address the question of convergence across German districts in the first decade after German unification by drawing out and emphasising some stylised facts of regional per capita income dynamics. We achieve this by employing non-parametric techniques which focus...
Persistent link: https://www.econbiz.de/10010559454
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Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Funke, Michael; Colavecchio, Roberta - Institut für Makroökonomie und Wirtschaftspolitik, … - 2008
This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005. To account for the time-variability of conditional correlation, a dynamic...
Persistent link: https://www.econbiz.de/10010559464
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Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets
Funke, Michael; Colavecchio, Roberta - Institut für Makroökonomie und Wirtschaftspolitik, … - 2009
This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...
Persistent link: https://www.econbiz.de/10010559465
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Monetary approach to inflation: A medium-term structural model in a small open economy (the case of the Czech Republic in 1996-2004)
Arlt, Josef; Kodera, Jan; Mandel, Martin; Tomšík, … - In: Politická ekonomie 2006 (2006) 3
The paper analyses a relationship between monetary aggregate M2 and inflation in a small open economy. The relationship … between monetary expansion and inflation as well as a dynamic of income velocity of money framework in a small open economy … money and tradables inflation in the case of the Czech small open economy is not found. The conclusions presented in the …
Persistent link: https://www.econbiz.de/10005036707
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The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate
Funke, Michael; Chen, Yu-Fu; Glanemann, Nicole - Institut für Makroökonomie und Wirtschaftspolitik, … - 2011
This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions...
Persistent link: https://www.econbiz.de/10010559458
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Just How Undervalued is the Chinese Renminbi?
Funke, Michael - 2009
Given that the value of China's currency has been hot topic recently, this paper explores the equilibrium levels of China's real and nominal exchange rates. Employing a Johansen cointegration framework, we focus on the behavioral equilibrium exchange rate (BEER) and permanent equilibrium...
Persistent link: https://www.econbiz.de/10012721199