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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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Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?
Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
system and the current managed float. Panel integration techniques are used to increase the power of the tests. Cross section …
Persistent link: https://www.econbiz.de/10010896121
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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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Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?
Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
system and the current managed float. Panel integration techniques are used to increase the power of the tests. Cross section …
Persistent link: https://www.econbiz.de/10004963984
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The Impact of Real Oil Price on Real Effective Exchange Rate: The Case of Azerbaijan
Hasanov, Fakhri - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
Using quarterly data from 2000-2007 and applying Error Correction Model and Johansen Co-integration Approaches I estimate the impact of real oil price on the real exchange rate of Azerbaijani manat. Estimation outputs derived from these approaches are very close to each other and indicate that...
Persistent link: https://www.econbiz.de/10008490410
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Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?
Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
system and the current managed float. Panel integration techniques are used to increase the power of the tests. Cross section …
Persistent link: https://www.econbiz.de/10005069144
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Business Cycles, International Trade and Capital Flows: Evidence from Latin America
Caporale, Guglielmo Maria; Girardi, Alessandro - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within...
Persistent link: https://www.econbiz.de/10010592915
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Cross-Section Dependence and the Monetary Exchange Rate Model: A Panel Analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we …
Persistent link: https://www.econbiz.de/10009003457
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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
This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....
Persistent link: https://www.econbiz.de/10008596278
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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
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011 …). This theory suggests that market participants may at times attach significantly more weight to individual economic … evidence that strongly supports the scapegoat theory of exchange rates, with the resulting models explaining a large fraction …
Persistent link: https://www.econbiz.de/10010643156