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Cross-section Dependence and the Monetary Exchange Rate Mode – A Panel Analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - Rheinisch-Westfälisches Institut für … - 2011
distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or … national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and …
Persistent link: https://www.econbiz.de/10009018923
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Within and Between Panel Cointegration in the German Regional Output-Trade-FDI Nexus
Mitze, Timo - Rheinisch-Westfälisches Institut für … - 2010
For spatial data with a sufficiently long time dimension, the concept of global cointegration has been recently … included in the econometrics research agenda. Global cointegration arises when non-stationary time series are cointegrated both … allows us to analyze the short- and long-run impacts of internationalization activities. For the long-run cointegration …
Persistent link: https://www.econbiz.de/10008691995
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Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices
Beckmann, Joscha - Rheinisch-Westfälisches Institut für … - 2011
Although the literature on purchasing power parity (PPP) is rich in controversy, the relative contribution of prices and nominal exchange rates to real exchange rate movements which restore PPP disequilibria has rarely been put under any close scrutiny. Using monthly data from 1973:01 to 2009:12...
Persistent link: https://www.econbiz.de/10009246532
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Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?
Beckmann, Joscha; Czudaj, Robert - Rheinisch-Westfälisches Institut für … - 2013
Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarifi cation of the issue of causality has not been provided. In addition, previous studies have mostly neglected...
Persistent link: https://www.econbiz.de/10010691192
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Oil Price Effects on Land Use Competition – An Empirical Analysis
Diermeier, Matthias; Schmidt, Torsten - Rheinisch-Westfälisches Institut für … - 2012
selected food commodities empirically performing Granger causality and cointegration tests as well as calculating impulse …
Persistent link: https://www.econbiz.de/10010860286
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Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - Rheinisch-Westfälisches Institut für … - 2013
This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the Dollar-Yen exchange rate in the long-run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is...
Persistent link: https://www.econbiz.de/10010860292
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Gold as an Infl ation Hedge in a Time-Varying Coeffi cient Framework
Beckmann, Joscha; Czudaj, Robert - Rheinisch-Westfälisches Institut für … - 2012
This study analyzes the question whether gold provides the ability of hedging against inflation from a new perspective. Using data for four major economies, namely the USA, the UK, the Euro Area, and Japan, we allow for nonlinearity and discriminate between long-run and time-varying short-run...
Persistent link: https://www.econbiz.de/10010860299
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Effects of Global Liquidity on Commodity and Food Prices
Belke, Ansgar; Bordon, Ingo; Volz, Ulrich - Rheinisch-Westfälisches Institut für … - 2012
This paper investigates the relationship between global liquidity and commodity and food prices applying a global cointegrated vector-autoregressive model. We use different measures of global liquidity and various indices of commodity and food prices for the period 1980–2011. Our results...
Persistent link: https://www.econbiz.de/10010548059
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Interest Rate Pass-Through in the EMU – New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data
Belke, Ansgar; Beckmann, Joscha; Verheyen, Florian - Rheinisch-Westfälisches Institut für … - 2012
the European Monetary Union. Applying different cointegration techniques, we first test for a long-run relationship …
Persistent link: https://www.econbiz.de/10010558558
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Exchange Rate Pass-through into German Import Prices – A Disaggregated Perspective
Beckmann, Joscha; Belke, Ansgar; Verheyen, Florian - Rheinisch-Westfälisches Institut für … - 2013
analyze data for different product categories, and also cointegration techniques to carefully distinguish between shortrun and …
Persistent link: https://www.econbiz.de/10010684806