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What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated
Cheung, Yin-Wong; Chinn, Menzie D.; Pascual, Antonio I. … - CESifo - 2003
Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970’s vintage, including monetary and portfolio balance models. In this paper we re-assess the in-sample fit and out-of-sample prediction of a wider set of models that have...
Persistent link: https://www.econbiz.de/10005406410
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The Assignment of Powers in an Open-ended European Union
Salmon, Pierre - CESifo - 2003
evolving nature takes the form of an integration process which tends to be monotonous, that is, which can only with great … should be of some value independently of the position adopted with regard to European integration. …
Persistent link: https://www.econbiz.de/10005766218
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Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets
Wdowinski, Piotr; Malecka, Marta - CESifo - 2010
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10008583696
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The Relationship between Exchange Rates and International Trade: A Literature Review
Auboin, Marc; Ruta, Michele - CESifo - 2012
, two main issues are investigated: the impact on international trade of exchange rate volatility and of currency … misalignments. On average, exchange rate volatility has a negative (even if not large) impact on trade flows. The extent of this … prevalence of small firms), and the degree of economic integration across countries. The second issue involves exchange rate …
Persistent link: https://www.econbiz.de/10010555693
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An Alternative Conditional Asymmetry Specification for Stock Returns
Brännäs, Kurt; Nordman, Niklas - CESifo - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10005765680
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The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa
Egert, Balazs - CESifo - 2009
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...
Persistent link: https://www.econbiz.de/10005000381
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The 90% Public Debt Threshold: The Rise and Fall of a Stylised Fact
Egert, Balazs - CESifo - 2013
This paper puts the original Reinhart-Rogoff dataset, made public by Herndon et al. (2013), to a formal econometric test to pin down debt threshold endogenously. We show that the nonlinear relation from debt to growth is not very robust. Taken with a pinch of salt, our results suggest, however,...
Persistent link: https://www.econbiz.de/10010659189
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Public Debt, Economic Growth and Nonlinear Effects: Myth or Reality
Egert, Balazs - CESifo - 2013
nonlinear relationship between debt and growth is very sensitive to modelling choices. We also show that when nonlinearity is …
Persistent link: https://www.econbiz.de/10010631772
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Exchange Rate Regimes and Macroeconomic Stability in Central and Eastern Europe
Grauwe, Paul De; Schnabl, Gunther - CESifo - 2004
This paper explores the impact of the exchange rate regime on inflation and output in the Central and Eastern European (CEE) EU candidate countries. The panel estimations for the period between 1994 and 2002 show that de facto measures of exchange rate stability have a better explanatory power...
Persistent link: https://www.econbiz.de/10005766042
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Exchange Rate Volatility and Growth in Emerging Europe and East Asia
Schnabl, Gunther - CESifo - 2007
The paper investigates the impact of exchange rate volatility on growth in Emerging Europe and East Asia. Exchange … panel estimations provide evidence for a negative impact of exchange rate volatility on growth both in Emerging Europe and …
Persistent link: https://www.econbiz.de/10005766163