Showing 1 - 10 of 11
Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely...
Persistent link: https://www.econbiz.de/10010957409
Recently a variety of exchange and interest rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. While these stochastic equilibrium models in continous time are theoretically rigorous, a systematic...
Persistent link: https://www.econbiz.de/10010957390
Recent theoretical advances in consumption theory suggest that there may exist predictable consumption surges which, if not taken sufficiently into account in forecasting, may lead to predictable forecast errors. We use this insight to identify economic variables that might help improve the...
Persistent link: https://www.econbiz.de/10010957443
Recent theoretical advances in consumption theory suggest that there may exist predictable consumption surges which, if not taken sufficiently into account in forecasting, may lead to predictable forecast errors. We use this insight to identify economic variables that might help improve the...
Persistent link: https://www.econbiz.de/10005801327
Recently a variety of exchange and interest rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. While these stochastic equilibrium models in continuous time are theoretically rigorous, a systematic...
Persistent link: https://www.econbiz.de/10005801358
The process of international interest rate convergence for arbitrary terms (represented by the term structure of interest rate differentials) is derived in a model of a small open economy which faces a purely time-contingent exchange rate regime switch from flexible to fixed rates. Special...
Persistent link: https://www.econbiz.de/10004989331
The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important prediction of the term structure of interest rates. This paper derives the term structure of differentials in a...
Persistent link: https://www.econbiz.de/10004989356
Recent theory on exchange rate dynamics suggests that the mere announcement of regime switching from floating to fixed rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov-switching GARCH model this paper estimates the volatility...
Persistent link: https://www.econbiz.de/10004989360
Recent theory on exchange rate dynamics suggests that the mere announcement of regime switching from floating to fixed rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov-switching GARCH model this paper estimates the volatility...
Persistent link: https://www.econbiz.de/10010984994
The process of international interest rate convergence for arbitrary terms (represented by the term structure of interest rate differentials) is derived in a model of a small open economy which faces a purely time-contingent exchange rate regime switch from flexible to fixed rates. Special...
Persistent link: https://www.econbiz.de/10010985014