Narrow search
Showing 1 - 10 of 607
Cover Image
The Euro-Dollar exchange rate : is it fundamental?
Camarero Olivas, Mariam; Ordóñez, Javier; Tamarit … - 2002
In this paper we have applied two approaches to the study of the dollar real exchange rate in relation with the Euro-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus seven developed countries, four of them...
Persistent link: https://www.econbiz.de/10011538958
Cover Image
Testing for UIP : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...
Persistent link: https://www.econbiz.de/10012508617
Cover Image
A re-examination of the link between real exchange rates and real interest rate differentials
Hoffmann, Mathias; MacDonald, Ronald - 2003
first clarify the logic of applying cointegration methods to the RERI and propose an alternative way of testing the …
Persistent link: https://www.econbiz.de/10011506475
Cover Image
Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2013
strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the … financialisation process of oil prices explaining most of the strengthening of this correlation. …
Persistent link: https://www.econbiz.de/10009748353
Cover Image
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10010361374
Cover Image
China, Hong Kong, and Taiwan : a quantitative assessment of real and financial integration
Cheung, Yin-Wong; Chinn, Menzie David; Fujii, Eiji - 2003
The status of real and financial integration of China, Hong Kong, and Taiwan is investigated using monthly data on one-month interbank rates, exchange rates, and prices. Specifically, the degree of integration is assessed based on the empirical validity of real interest parity, uncovered...
Persistent link: https://www.econbiz.de/10011514149
Cover Image
Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010249640
Cover Image
Testing for common cyclical features in var models with cointegration
Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001
We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short … test statistics. The finite sample behavior of the sequential approach is analyzed in a Monte Carlo experiment. Finally, we …
Persistent link: https://www.econbiz.de/10011398127
Cover Image
Exchange rate misalingment estimates : sources of differences
Cheung, Yin-Wong; Fujii, Eiji - 2011
affected by a country's participation status in the ICP survey and its data quality - a finding that casts doubt on the …
Persistent link: https://www.econbiz.de/10009272286
Cover Image
Real-time forecasting using mixed-frequency VARs with time-varying parameters
Heinrich, Markus; Reif, Magnus - 2020
optimal prediction pool, we moreover demonstrate that the MF-TVP-SV-VAR has gained importance since the Great Recession. …
Persistent link: https://www.econbiz.de/10012154665