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Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity

Habib, Maurizio Michael; Joy, Mark - European Central Bank - 2008

Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency …-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing … public sector and private sector. Our findings show that the choice of issuance currency is sensitive to deviations from …

Persistent link: https://www.econbiz.de/10005531006

Are there oil currencies? The real exchange rate of oil exporting countries

Habib, Maurizio Michael; Kalamova, Margarita Manolova - European Central Bank - 2007

This paper investigates whether the real oil price has an impact on the real exchange rates of three main oil-exporting countries: Norway, Russia and Saudi Arabia. We create our measure of the real effective exchange rates for Norway and Saudi Arabia (1980-2006) and for Russia (1995-2006),...

Persistent link: https://www.econbiz.de/10005530806

The behaviour of the real exchange rate: evidence from regression quantiles

Nikolaou, Kleopatra - European Central Bank - 2006

We test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different...

Persistent link: https://www.econbiz.de/10005530824

Modelling Ireland’s exchange rates: from EMS to EMU

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - European Central Bank - 2007

This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (PPP), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the...

Persistent link: https://www.econbiz.de/10005227548

Long run macroeconomic relations in the global economy

Dées, Stéphane; Holly, Sean; Pesaran, Hashem; Smith, … - European Central Bank - 2007

This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates suggested by arbitrage in financial and goods markets. It uses the global vector autoregressive (GVAR) model to test for long run restrictions in each country/region conditioning...

Persistent link: https://www.econbiz.de/10005816191

Is reversion to PPP in euro exchange rates non-linear?

Schnatz, Bernd - European Central Bank - 2006

The paper tests for nonlinearities in the adjustment of the euro exchange rate towards purchasing power parity (PPP). It presents new survey based evidence consistent with non-linear patterns in euro exchange rate dynamics. Moreover, based on an exponential smooth transition autoregressive...

Persistent link: https://www.econbiz.de/10005816308

Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk

Ca' Zorzi, Michele; Muck, Jakub; Rubaszek, Michał - European Central Bank - 2013

This paper brings three new insights into the Purchasing Power Parity (PPP) debate. First, we show that a half-life PPP model is able to forecast real exchange rates (RER) better than the random walk (RW) model at both short and long-term horizons. Secondly, we find that this result holds only...

Persistent link: https://www.econbiz.de/10010686845

Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?

Peltonen, Tuomas A.; Popescu, Adina; Sager, Michael - European Central Bank - 2009

. By contrast, we combine these two explanations in the context of an innovativepanel estimation methodology.. …

Persistent link: https://www.econbiz.de/10005866489

Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro

Fratzscher, Marcel; Stracca, Livio - European Central Bank - 2009

There is a broad consensus that the quality of the political system and its institutionsare fundamental for a country’s prosperity. The paper focuses on political events inItaly over the past 35 years and asks whether the adoption of the euro in 1999 hashelped insulate Italy’s financial...

Persistent link: https://www.econbiz.de/10005866519

What explains global exchange rate movements during the financial crisis?

Fratzscher, Marcel - European Central Bank - 2009

A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...

Persistent link: https://www.econbiz.de/10005866568