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A real differential view of equilibrium real exchange rates and misalignments
Hoffmann, Mathias; MacDonald, Ronald - Center for Financial Studies - 2000
cointegration methods, we generally find a link between the real exchange rate and the real interest differential. This finding … the dynamic equilibrium given by the cointegration relation. Furthermore, the presence of cointegration also allows us to …
Persistent link: https://www.econbiz.de/10010958592
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Inflation convergence after the introduction of the Euro
Mentz, Markus; Sebastian, Steffen P. - Center for Financial Studies - 2003
Using the Johansen test for cointegration, we examine to which extent inflation rates in the Euro area have converged … in cointegration analyses we pay special attention to the appropriate identification of non-stationary inflation rates by …
Persistent link: https://www.econbiz.de/10010958595
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - Center for Financial Studies - 2009
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10010958747