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Exchange rate dynamics, expectations, and monetary policy

Chen, Qianying - Deutsche Bundesbank - 2011

This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy...

Persistent link: https://www.econbiz.de/10009283654

Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate

Reitz, Stefan - Deutsche Bundesbank - 2002

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...

Persistent link: https://www.econbiz.de/10005059033

Carry funding and safe haven currencies: A threshold regression approach

Hossfeld, Oliver; MacDonald, Ronald - Deutsche Bundesbank - 2014

currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … analysis of bilateral euro-based exchange rates, given the euro's prominent role during the euro area sovereign debt crisis. …

Persistent link: https://www.econbiz.de/10011093851

PPP: a Disaggregated View

Fischer, Christoph - Deutsche Bundesbank - 2004

By disaggregating price indices, it becomes apparent that the real exchange rate consists of the real exchange rate for a single good and a weighted sum of relative prices between goods. When applying a battery of panel unit root tests to this sum and its components, it is found that both the...

Persistent link: https://www.econbiz.de/10005083081

Real currency appreciation in accession countries: Balassa-Samuelson and investment demand

Fischer, Christoph - Deutsche Bundesbank - 2002

The Balassa-Samuelson effect is usually seen as the prime explanation of the continuous real appreciation of central and east European (CEE) transition countries' currencies against their western counterparts. The response of a small country's real exchange rate to various shocks is derived in a...

Persistent link: https://www.econbiz.de/10005083090

A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications

Fischer, Christoph; Porath, Daniel - Deutsche Bundesbank - 2006

Panel unit root tests of real exchange rates – as opposed to univariate tests – usually reject non-stationarity. These tests, however, could be biased if the real exchange rate contained MA roots. Indeed, two independent arguments claim that the real exchange rate, being a sum of a...

Persistent link: https://www.econbiz.de/10005083113

The determinants of the euro-dollar exchange rate: synthetic fundamentals and a non-existing currency

Clostermann, Jörg; Schnatz, Bernd - Deutsche Bundesbank - 2000

At the beginning of 1999 the euro was launched as a common currency in 11 European countries. This paper addresses … empirically the medium to long-term forces driving the real euro-dollar exchange rate. Constructing a synthetic euro …-dollar exchange rate over a period from 1975 to 1998 and applying cointegration approaches, four factors are identified as fundamental …

Persistent link: https://www.econbiz.de/10005083168

Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy

Knetsch, Thomas A. - Deutsche Bundesbank - 2005

-specific data sets, cointegration analyses are carried out both to identify long-run economic relationships and to remove the trend …

Persistent link: https://www.econbiz.de/10005083307

User costs of housing when households face a credit constraint: evidence for Germany

Dümmler, Tobias; Kienle, Stephan - Deutsche Bundesbank - 2010

We develop a formula for user costs of housing on the basis of a neoclassical approach to housing investment which does not impose a perfect capital market assumption. We suggest that the definition for the user costs of housing should be extended by an additional term which mirrors the credit...

Persistent link: https://www.econbiz.de/10008554268

The quality of banking and regional growth

Hasan, Iftekhar; Koetter, Michael; Wedow, Michael - Deutsche Bundesbank - 2007

We test whether output growth in European economic agglomeration regions depends on financial development. To this end we suggest a relative measure of the quality of financial institutions rather than the usual quantity proxy of financial development. In order to measure the quality of...

Persistent link: https://www.econbiz.de/10005082797

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