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How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
among fundamentals and exchange rates since the breakdown of Bretton Woods. Second, there are no recurring regimes, i ….e. across different regimes either the coefficient values for the same fundamentals differ or the significance differs. Third …, there is no regime in which no fundamentals enter. Fourth, the deviations resulting from the stepwise cointegrating …
Persistent link: https://www.econbiz.de/10008596278
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Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10011128878
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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 - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10010635677
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The Scapegoat Theory of Exchange Rates: The First Tests
Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data …
Persistent link: https://www.econbiz.de/10010643156
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Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis
Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010783955
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The Polish Zloty and Currency Speculation
Fic, Tatiana - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2002
This paper uses Markov switching models to study short-run movements of the Polish zloty and speculative phenomena in Poland, that is, to investigate whether the exchange rate is "contaminated" by a speculative bubble. The zloty movements are examined in terms of so-called long swings - periods...
Persistent link: https://www.econbiz.de/10004963691
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Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis
Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10005069074
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Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis
Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010661278
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Real Convergence, Capital Flows, and Competitiveness in Central and Eastern Europe
Belke, Ansgar; Schnabl, Gunther; Zemanek, Holger - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
The paper scrutinizes the role of wages and capital flows for competitiveness in the new EU member states in the context of real convergence. For this purpose it extends the seminal Balassa-Samuelson model by international capital markets. The augmented Balassa-Samuelson model is linked to the...
Persistent link: https://www.econbiz.de/10008461813
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International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence
Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10008461817