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Aggregation in Large Dynamic Panels
Pesaran, Hashem M.; Chudik, Alexander - CESifo - 2011
This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated … which ‘observed’ inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our …
Persistent link: https://www.econbiz.de/10008853858
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2013
temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series …
Persistent link: https://www.econbiz.de/10010643340
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Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data
Fidrmuc, Jarko; Horváth, Roman - CESifo - 2007
We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting regime, they occasionally tried to manage their exchange...
Persistent link: https://www.econbiz.de/10005765724
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Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?
Caporale, Guglielmo Maria; Hanck, Christoph - CESifo - 2006
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...
Persistent link: https://www.econbiz.de/10005765840
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The Undisclosed Renminbi Basket: Are the Markets Telling us something about where the Renminbi – US Dollar Exchange Rate is Going?
Funke, Michael; Gronwald, Marc - CESifo - 2008
On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD)...
Persistent link: https://www.econbiz.de/10005765921
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The Relative Volatility of Commodity Prices: A Reappraisal
Arezki, Rabah; Lederman, Daniel; Zhao, Hongyan - CESifo - 2011
This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wisdom in academia and policy circles is that primary commodity prices are more...
Persistent link: https://www.econbiz.de/10009391720
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The U.S. Dollar Exchange Rate and the Demand for Oil
Schryder, Selien De; Peersman, Gert - CESifo - 2013
Using recent advances in panel data estimation techniques, we find that an appreciation of the US dollar exchange rate leads to a significant decline in oil demand for a sample of 65 oil-importing countries. The estimated effect turns out to be much larger than the impact of a shift in the...
Persistent link: https://www.econbiz.de/10010877652
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Austerity, Growth and Inflation. Remarks on the Eurozone's Unresolved Competitiveness Problem
Sinn, Hans-Werner - CESifo - 2013
While the financial protection measures enacted by the ECB and the community of Eurozone members have calmed financial markets, they have left the competitiveness problem of the Eurozone’s southern countries and France unresolved. The paper compares price inflation before the crisis with the...
Persistent link: https://www.econbiz.de/10010877720
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The Penn Effect within a Country - Evidence from Japan
Cheung, Yin-Wong; Fujii, Eiji - CESifo - 2012
To control for product quality and exchange rate effects, we use the Japanese regional data to study the Penn effect – the positive relationship between price and income levels. Comparable with the evidence from international data, the Penn effect is significant in the Japanese prefectural...
Persistent link: https://www.econbiz.de/10010877769
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The Impact of Yuan Internationalization on the Euro-Dollar Exchange Rate
Benassy-Quere, Agnes; Forouheshfar, Yeganeh - CESifo - 2013
We study the implication of a multipolarization of the international monetary system on cross-currency volatility. More specifically, we analyze whether the internationalization of the yuan could modify the impact of asset supply and trade shocks on the euro-dollar exchange rate, within a...
Persistent link: https://www.econbiz.de/10010877786