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The empirical determinants of the Euro : short and long run perspectives

Chinn, Menzie David - 2000

is provided by a productivity-based model of the real value of the euro. Some panel regression estimates of the … relationship between intercountry relative productivity differentials and real exchange rates is presented. Using these estimates … to conduct some calculations, one comes to the conclusion that unless drastic changes to productivity trends occur, there …

Persistent link: https://www.econbiz.de/10009583879

Interest parity at short and long horizons

Chinn, Menzie David; Meredith, Guy - 2000

The unbiasedness hypothesis -- the joint hypothesis of uncovered interest parity (UIP) and rational expectations -- has been almost universally rejected in studies of exchange rate movements. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using...

Persistent link: https://www.econbiz.de/10009583878

Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...

Persistent link: https://www.econbiz.de/10009616784

The monetary model of the exchange rate : a structural interpretation

Moersch, Mathias; Nautz, Dieter - 1998

We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows an interpretation of the various channels affecting the...

Persistent link: https://www.econbiz.de/10009574885

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...

Persistent link: https://www.econbiz.de/10009578026

Modelling exchange rates volatility with multivariate long-memory ARCH processes

Teyssière, Gilles - 1999 - Rev.

We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...

Persistent link: https://www.econbiz.de/10009579181

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

Persistent link: https://www.econbiz.de/10009615423

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity …

Persistent link: https://www.econbiz.de/10009611542

Common cycles : a frequency domain approach

Breitung, Jörg; Candelon, Bertrand - 2000

In this paper we decompose the Serial Correlation Common Feature (SCCF) of Engle and Kozicki (1993) in the frequency domain. A collection of time series is said to share a common cycle if there exists a linear combination of the predicted series with a zero spectral density at some frequency....

Persistent link: https://www.econbiz.de/10009612024

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