Narrow search
Showing 1 - 10 of 101
Cover Image
Inflation and Inflation Uncertainty in the Euro Area
Caporale, Guglielmo Maria; Onorante, Luca; Paesani, Paolo - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …
Persistent link: https://www.econbiz.de/10004963627
Cover Image
The Euro Changeover and Price Adjustments in Italy
Caporale, Guglielmo Maria; Girardi, Alessandro; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
changeover, Italian retailers have increased the number of price adjustments, which has translated into a higher inflation rate …
Persistent link: https://www.econbiz.de/10008869172
Cover Image
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
Cover Image
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. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10010896189
Cover Image
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
Cover Image
The Argentinean Currency Crisis: A Markov-Switching Model Estimation
Alvarez-Plata, Patricia; Schrooten, Mechthild - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003
Despite the fact that Argentina has been suffering from a recession for years, the timing and severity of the recent currency crisis surprised most observers. This paper analyzes the role of fundamentals and self-fulfilling speculation in the Argentinean crisis. Arguing within a theoretical...
Persistent link: https://www.econbiz.de/10005068706
Cover Image
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
Cover Image
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
Cover Image
The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate...
Persistent link: https://www.econbiz.de/10011128849
Cover Image
The Transmission of Oil and Food Prices to Consumer Prices: Evidence for the MENA Countries
Belke, Ansgar; Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper investigates the effects of global oil and food price shocks to consumer prices in Middle East-North African (MENA) countries using threshold cointegration methods. Oil and food price shocks increase domestic prices in the long run, whereby the impact of food prices dominates. While...
Persistent link: https://www.econbiz.de/10010896212