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China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration
Cheung, Yin-Wong; Chinn, Menzie D.; Fujii, Eiji - CESifo - 2003
The status of real and financial integration of China, Hong Kong, and Taiwan is investigated using monthly data on one-month interbank rates, exchange rates, and prices. Specifically, the degree of integration is assessed based on the empirical validity of real interest parity, uncovered...
Persistent link: https://www.econbiz.de/10005181319
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Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures
Pesaran, M. Hashem; Smith, Ron P.; Yamagata, Takashi; … - CESifo - 2006
In this paper we adopt a new approach to testing for purchasing power parity, PPP, that is robust to base country effects, cross-section dependence, and aggregation. Given data on N +1 countries, i, j = 0, 1, 2, ..., N, the standard procedure is to apply unit root or stationarity tests to N...
Persistent link: https://www.econbiz.de/10005094274
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Product Variety and Economic Growth - Empirical Evidence for the OECD Countries
Funke, Michael; Ruhwedel, Ralf - CESifo - 2000
Utilizing panel data for 19 OECD countries we find suppor t for the hypothesis that a greater degree of product variety … relative to the US helps to explain relative per capita GDP levels. The empirical work relies upon some direct measures of …
Persistent link: https://www.econbiz.de/10005416492
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Trade Costs, Trade Balances and Current Accounts: An Application of Gravity to Multilateral Trade
Fazio, Giorgio; MacDonald, Ronald; Melitz, Jacques - CESifo - 2005
In this paper we test the well-known hypothesis of Obstfeld and Rogoff (2000) that trade costs are the key to explaining the so-called Feldstein-Horioka puzzle. Using a gravity framework in an intertemporal context, we provide strong support for the hypothesis and we reconcile our results with...
Persistent link: https://www.econbiz.de/10005765966
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Europe Agreements and Trade Balance: Evidence from Four New EU Members
Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - CESifo - 2011
impact of the agreement variable on the trade balance, exports and imports being affected in different ways, which results in … Central and Eastern Europe (CEEC-4) using both static and dynamic panel data approaches. Specifically, the system Generalized … Estimation Pooled - Hausman-Taylor (CCEPHT, Serlenga and Shin, 2007) are applied to analyse the effects of the agreement variable …
Persistent link: https://www.econbiz.de/10008833883
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Oil Prices, Exchange Rates and Asset Prices
Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - CESifo - 2013
This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...
Persistent link: https://www.econbiz.de/10010877722
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The Crisis in the Foreign Exchange Market
Melvin, Michael; Taylor, Mark P. - CESifo - 2009
The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is intended to be a resource for researchers seeking...
Persistent link: https://www.econbiz.de/10005013075
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The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate
Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole - CESifo - 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/10009324091
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The Relationship between Exchange Rates and International Trade: A Literature Review
Auboin, Marc; Ruta, Michele - CESifo - 2012
This paper surveys a wide body of economic literature on the relationship between currencies and trade. Specifically, 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...
Persistent link: https://www.econbiz.de/10010555693
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On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010636593