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Explaining the dollar/euro exchange rate: the role of policy uncertainty, asymmetric information, and hedging opportunities
Melvin, Michael; Gomez, Manuel - Econometric Society - 2004
Many observers were surprised by the depreciation of the euro after its launch in 1999. Handicapped by a short sample, explanations tended to appeal to anecdotes and lessons learned from the experiences of other currencies. Now sample sizes are just becoming large enough to permit reasonable...
Persistent link: https://www.econbiz.de/10005328941
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High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market
Tyurin, Konstantin - Econometric Society - 2004
The paper applies a popular methodology of competing risks to the analysis of the timing and interaction between the Deutsche Mark/U.S. dollar transactions, quotes, and cancellations in the Reuters D2000-2 electronic brokerage system. Consistently with previous stock market studies, the bid-ask...
Persistent link: https://www.econbiz.de/10005342260
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Currency Substitution, Portfolio Diversification and Money Demand
Freitas, Miguel Lebre de - Econometric Society - 2004
The paper explores the implications of means of payment substitutability and capital mobility on the properties of the money demand, using the Thomas (1985) stochastic dynamic optimising model, where the specific role of money is explicitly accounted for. Extending the model to a case in which...
Persistent link: https://www.econbiz.de/10005328925
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ABS Issuance and Lending Attitude of Banks
Harada, Kimie - Econometric Society - 2004
This paper investigates whether an increase in ABS issuance, or securitized products, by leasing companies has been influenced by Japanese banks’ tightened lending attitudes in 1990s. Our focus is in particular to examine the importance of asset securitization for leasing companies when...
Persistent link: https://www.econbiz.de/10005702732
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COINTEGRATION AND WAVELETS: AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN MONEY AND OUTPUT IN PERU
Lahura, Erick - Econometric Society - 2004
application of wavelet filtering to analyze cointegrating relationships. No evidence of cointegration between money, real output … and prices is found. However, there is evidence of cointegration between non-stationary components of the series that …
Persistent link: https://www.econbiz.de/10005328904
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How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?
Garces-Diaz, Daniel - Econometric Society - 2004
This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...
Persistent link: https://www.econbiz.de/10005328935
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An Alternative Estimation of Spurious Regression Model
Rahman, Shahidur - Econometric Society - 2004
the cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating …
Persistent link: https://www.econbiz.de/10005342144
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Dead Man Walking: An Empirical Reassessment of the Deterrent Effect of Capital Punishment Using the Bounds Testing Approach to Cointegration
Smyth, Russell; Narayan, Paresh Kumar - Econometric Society - 2004
cointegration and error correction framework. Our findings suggest that any support for the deterrence hypothesis is sensitive to …
Persistent link: https://www.econbiz.de/10005342164
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Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand
Bunzel, Helle - Econometric Society - 2004
This paper provides a new approach to testing cointegration parameters in a single-equation cointegration environment … errors using fixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment. It is shown that … bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous. Using asymptotic power and …
Persistent link: https://www.econbiz.de/10005342277
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Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis
Choi, In; Chue, Timothy - Econometric Society - 2004
-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The …
Persistent link: https://www.econbiz.de/10005342342