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The Greek Debt Crisis: Likely Causes, Mechanics and Outcomes
Arghyrou, Michael G.; Tsoukalas, John D. - CESifo - 2010
participation; and (b) a double shift in markets’ expectations, from a regime of credible commitment to future EMU participation …
Persistent link: https://www.econbiz.de/10008799726
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Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach
Menkhoff, Lukas; Rebitzky, Rafael R.; Schröder, Michael - CESifo - 2008
This paper examines heterogeneity in exchange rate expectations. Whereas agents’ heterogeneity is key in modern … exchange rate models, evidence on determinants of heterogeneity is weak so far. Our sample, covering expectations from about … heterogeneity. The risk premium influences heterogeneity as well, but possible impacts from macroeconomic variables and exchange …
Persistent link: https://www.econbiz.de/10005765679
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The Crisis in the Foreign Exchange Market
Melvin, Michael; Taylor, Mark P. - CESifo - 2009
The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is intended to be a resource for researchers seeking...
Persistent link: https://www.econbiz.de/10005013075
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The Signalling Channel of Central Bank Interventions: Modelling the Yen / US Dollar Exchange Rate
Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole - CESifo - 2011
This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions...
Persistent link: https://www.econbiz.de/10009324091
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The Relationship between Exchange Rates and International Trade: A Literature Review
Auboin, Marc; Ruta, Michele - CESifo - 2012
This paper surveys a wide body of economic literature on the relationship between currencies and trade. Specifically, two main issues are investigated: the impact on international trade of exchange rate volatility and of currency misalignments. On average, exchange rate volatility has a negative...
Persistent link: https://www.econbiz.de/10010555693
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On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010636593
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Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data
Fidrmuc, Jarko; Horváth, Roman - CESifo - 2007
We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting regime, they occasionally tried to manage their exchange...
Persistent link: https://www.econbiz.de/10005765724
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Exchange Rate Uncertainty and Labour Market Adjustment under Fixed and Flexible Exchange Rates
Chen, Yu-Fu; Funke, Michael - CESifo - 2002
The standard literature on working time has modelled the decisions of firms in a deterministic framework in which firms can choose between employment and overtime (given mandated standard hours). Contrary to this approach, we follow the real options approach, which allows us to investigate the...
Persistent link: https://www.econbiz.de/10005766184
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China’s Exchange Rate Impasse and the Weak U.S. Dollar
McKinnon, Ronald Ian; Schnabl, Gunther - CESifo - 2008
Since 2004, China has been backed into a situation where the renminbi is expected to go ever higher against the dollar, and this one-way bet has led to a loss of domestic monetary control. Combined with a more general flight from the U.S. dollar, the resulting monetary explosion in China...
Persistent link: https://www.econbiz.de/10005405730
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Exchange Rates and Asset Prices: Heterogeneous Agents at Work
Piccillo, Giulia - CESifo - 2013
. Investors choose one of two rules to form their expectations. One rule is based on an open economy model, which reacts to the … chartists expectations, and we find that our DSGE agents make output forecasts that are not qualitatively different than the …
Persistent link: https://www.econbiz.de/10010665041