Showing 1 - 10 of 35
This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)’s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality...
Persistent link: https://www.econbiz.de/10008914772
We examine the predictive ability and consistency properties of exchange rate expectations for the dollar/euro using a survey conducted in Spain by PwC among a panel of experts and entrepreneurs. Our results suggest that the PwC panel have some forecasting ability for time horizons from 3 to 9...
Persistent link: https://www.econbiz.de/10009650316
This paper examines the regime changes in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS), applying the duration model approach to weekly data of eight currencies participating in the ERM, covering the complete EMS history. When using the non-parametric (univariate)...
Persistent link: https://www.econbiz.de/10008493823
This paper provides empirical evidence on the determinants of exchange rate credibility under the European Monetary System (EMS). To that end, we have considered both economic variables and political factors using data of eight currencies participating in the Exchange Rate Mechanism, covering...
Persistent link: https://www.econbiz.de/10008493836
In this paper we assess the economic significance of the nonlinear predictability of EMS exchange rates. To that end, and using daily data for nine EMS currencies covering the 1st January 1978- 31st December 1994 period, we consider nearest-neighbour nonlinear predictors, transforming their...
Persistent link: https://www.econbiz.de/10008493837
This paper analyses the functioning of the European Exchange Rate Mechanism (ERM). To that end, we apply duration models to estimate an augmented target-zone model, explicitly incorporating political and institutional factors into the explanation of European exchange rate policies. The...
Persistent link: https://www.econbiz.de/10005650019
This article proposes an extension of Dixit (1989, Quart. J. Econ.), assuming that potential exporting firms benefit from the experience of firms already settled in the foreign market which allows the sunk cost to diminish. In general, the numerical results show that hysteresis is lower as...
Persistent link: https://www.econbiz.de/10010856702
Based on a dataset of 123 economies, both developed and developing countries, this paper investigates the relation between exchange-rate regimes and inflation performance. Our results suggest that those countries with flexible exchange-rate regimes are characterized by higher inflation rates,...
Persistent link: https://www.econbiz.de/10011145037
Based on a dataset of 123 economies, this paper empirically investigates the relation between exchange-rate regimes and economic growth. We find that growth performance is best under intermediate exchange rate regimes, while the smallest growth rates are associated with flexible exchange rates....
Persistent link: https://www.econbiz.de/10011145038
The factors influencing the real exchange rate are an important issue for a country’s price competitiveness, which is especially relevant to those countries belonging to a monetary union. In this paper, we analyse the relationship between fiscal policy and the real exchange rate for the case...
Persistent link: https://www.econbiz.de/10010961327