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On the Strength of the US dollar: Can it be Explained by Output Growth?

Vlaar, P.J.G. - de Nederlandsche Bank - 2001

One popular view on the current strength of the US dollar is that the higher growth in the US compared to Europe has stimulated foreigners to buy American assets, thereby driving up the exchange rate. In this paper a modified portfolio balance model is presented, in which it is shown that the...

Persistent link: https://www.econbiz.de/10005021860

A theoretical and empirical investigation on the validity of the uncovered interest parity

Blom, M.H.J. - de Nederlandsche Bank - 1999

In the empirical literature, not much support is found for the uncovered interest parity. Especially with free floating exchange rates, the forward rate is a biased predictor of the future exchange rate. This phenomenon can both be explained by an absence of rational expectations or by risk...

Persistent link: https://www.econbiz.de/10005021868

Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models

Groen, J.J.J.; Kleibergen, F. - de Nederlandsche Bank - 2001

We propose in this paper a likelihood-based framework for cointegration analysis in panels of a fixed number of vector error correction models. Maximum likelihood estimators of the cointegrating vectors are constructed using iterated Generalized Method of Moments estimators. Using these...

Persistent link: https://www.econbiz.de/10005021870

On the Strenght of the US Dollar: Can it be Explained by Output Growth?

Vlaar, P.J.G. - de Nederlandsche Bank - 2003

Persistent link: https://www.econbiz.de/10005021895

Early warning for currency crises: what is the role of financial openness?

Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013

We explore the role of financial openness - capital account openness and gross capital inflows - and a newly constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a quarterly data set of 46 advanced and emerging market...

Persistent link: https://www.econbiz.de/10010757284

The Forward Premium Puzzle and Latent Factors Day by Day

Bernoth, Kerstin; Hagen, Juergen von; Vries, Casper de - de Nederlandsche Bank - 2010

We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...

Persistent link: https://www.econbiz.de/10008475753

Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates

Darvas, Zsolt; Rappai, Gábor; Schepp, Zoltán - de Nederlandsche Bank - 2006

Results and models of this paper are based on a strikingly new empirical observation: long maturity forward rates between bilateral currency pairs of the US, Germany, UK, and Switzerland are stationary. Based on this result, we suggest a new explanation for the UIP-puzzle maintaining rational...

Persistent link: https://www.econbiz.de/10005101817

Currency Hedging for a Dutch Investor: The Case of Pension Funds and Insurers

Berggrun, Luis - de Nederlandsche Bank - 2005

This paper analyzes the risk reduction effectiveness of currency hedging international portfolios from the perspective … of an average Dutch pension fund and insurer during the period 1999-2004. Several portfolios and approaches to hedging … are analyzed. Passive hedging seems to be efficient in reducing the volatility of a foreign bond portfolio whereas the …

Persistent link: https://www.econbiz.de/10005101844

Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements

Jansen, David-Jan; Haan, Jakob de - de Nederlandsche Bank - 2005

This paper studies the effects of verbal interventions by European cen-tral bankers on high-frequency euro-dollar exchange rates. We find that ECB verbal interventions have had only small and short-lived effects. Ver- bal interventions which are reported in news report headlines are more likely...

Persistent link: https://www.econbiz.de/10005101863

What do we Understand about Exchange Rates

Vlaar, P.J.G. - de Nederlandsche Bank - 2002

One of the major puzzles of the economic profession is the pricing of exchange rates. Despite the development of numerous theories, the actual behaviour of exchange rates, especially in the short run, is not well understood. This article evaluates several popular exchange rate theories and...

Persistent link: https://www.econbiz.de/10005101887