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The Argentinean Currency Crisis: A Markov-Switching Model Estimation
Alvarez-Plata, Patricia; Schrooten, Mechthild - 2003
Despite the fact that Argentina has been suffering from a recession for years, the timing and severity of the recent currency crisis surprised most observers. This paper analyzes the role of fundamentals and self-fulfilling speculation in the Argentinean crisis. Arguing within a theoretical...
Persistent link: https://www.econbiz.de/10010260668
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How stable are monetary models of the Dollar-Euro exchange rate? A time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro … (the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …
Persistent link: https://www.econbiz.de/10010271135
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Mis-Leading Indicators? The Argentinean Currency Crisis
Plata, Patricia Alvarez; Schrooten, Mechthild - 2003
Despite the fact that Argentina has been suffering from recession for years the timing and severity of the recent currency crisis has surprised most observers. This paper analyzes whether the ?early warning? or ?signals? approach of Kaminsky (1998), Kaminsky/Lizondo/Reinhart (1998) and...
Persistent link: https://www.econbiz.de/10010260653
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The global crisis and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2014
We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...
Persistent link: https://www.econbiz.de/10010328201
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When does it hurt? The exchange rate pain threshold for German exports
Belke, Ansgar; Goecke, Matthias; Guenther, Martin - 2009
historical path of the whole process. We come up with an estimate of a play area width of 24 US dollar cent per euro. At the end … of our estimation period, the previous exchange rate movements had shifted the upper bound of the play area to about 1 ….55 US dollar per euro. In our interpretation, this is the current pain threshold, where a strong spurt reaction of exports …
Persistent link: https://www.econbiz.de/10010271139
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10010271372
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen … dollar rate vis-à-vis the Euro and the Japanese Yen respectively. …
Persistent link: https://www.econbiz.de/10010271381
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An investigation into the 1999 collapse of the Brazilian Real
Saqib, Omar F. - 2002
This study argues that the political considerations were an important factor behind the crisis of the Brazilian real in January 1999. The divided coalition government and a president facing impending elections eschewed the correction of external misalignments and the fiscal austerity at a time...
Persistent link: https://www.econbiz.de/10010260811
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Leading indicators of German business cycles: An assessment of properties
Fritsche, Ulrich; Stephan, Sabine - 2000
A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference series. (2) The relation between the reference series and the indicator should be statistically significant and stable over time....
Persistent link: https://www.econbiz.de/10010324215
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The influence of collusion on price changes: New evidence from major cartel cases
von Blanckenburg, Korbinian; Geist, Alexander; … - 2010
In this paper, we compare the distribution of price changes between collusive and noncollusive periods for ten major cartels. The first moments focus on previous research. We extend the discussion to the third (skewness) and fourth (kurtosis) moments. However, none of the above descriptive...
Persistent link: https://www.econbiz.de/10010274410