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The Future of International Liquidity and the Role of China
Taylor, Alan M. - C.E.P.R. Discussion Papers - 2013
This paper analyzes the consequences of the internationalization of the Chinese renminbi for the global monetary system … moderate the perceived need for insurance, and China would have to loom large in both solutions. …
Persistent link: https://www.econbiz.de/10011084193
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China’s Dominance Hypothesis and the Emergence of a Tri-polar Global Currency System
Fratzscher, Marcel; Mehl, Arnaud - C.E.P.R. Discussion Papers - 2011
, the euro and the Chinese renminbi (RMB). It focuses on what we call China’s" dominance hypothesis", i.e. whether the … renminbi is already the dominant currency in Asia, exerting a large influence on exchange rate and monetary policies in the … global financial crisis. These results are consistent with China’s dominance hypothesis and with the view that the …
Persistent link: https://www.econbiz.de/10009371469
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International Business Cycle Spillovers
Yilmaz, Kamil - C.E.P.R. Discussion Papers - 2010
This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic...
Persistent link: https://www.econbiz.de/10011083760
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Understanding Money Demand in the Transition from a Centrally Planned to a Market Economy
Delatte, Anne-Laure; Fouquau, Julien; Holz, Carsten - C.E.P.R. Discussion Papers - 2013
formidable challenge to monetary policy decision makers. For the case of China, we examine the institutional changes in the … consideration the changes in the institutional characteristics of China's financial system. Using a newly compiled dataset that …
Persistent link: https://www.econbiz.de/10011083869
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Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series
Ghysels, Eric; Miller, J. Isaac - C.E.P.R. Discussion Papers - 2013
We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We … the size distortion of the tests. We test stock prices and dividends for cointegration as an empirical demonstration. …
Persistent link: https://www.econbiz.de/10011084358
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Structural FECM: Cointegration in large-scale structural FAVAR models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2014
Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The latter is used for the identification of structural shocks and their...
Persistent link: https://www.econbiz.de/10011083358
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Defining Benchmark Status: An Application using Euro-Area Bonds
Dunne, Peter; Moore, Michael J; Portes, Richard - C.E.P.R. Discussion Papers - 2002
benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a …
Persistent link: https://www.econbiz.de/10005789214
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Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption
Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001
This Paper uses restrictions implied by cointegration to identify the permanent and transitory elements (the ‘trend …
Persistent link: https://www.econbiz.de/10005792097
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Natural Rate Doubts
Farmer, Roger E A - C.E.P.R. Discussion Papers - 2000
This paper provides evidence for a low frequency relationship between unemployment, inflation and the nominal interest rate. I show that in the United States from 1959.1 to 1991.3, the unemployment rate, the inflation rate and the federal funds rate can be modelled as non stationary time series...
Persistent link: https://www.econbiz.de/10005792534
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The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium
Chong, Yanping; Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2010
Frictionless, perfectly competitive traded-goods markets justify thinking of purchasing power parity (PPP) as the main driver of exchange rates in the long-run. But differences in the traded/non-traded sectors of economies tend to be persistent and affect movements in local price levels in ways...
Persistent link: https://www.econbiz.de/10008550320