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Does the nominal exchange rate regime affect the real interest parity condition?

Dreger, Christian - 2008

The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...

Persistent link: https://www.econbiz.de/10010291771

The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns

Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023

We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...

Persistent link: https://www.econbiz.de/10014309448

Cross-section dependence and the monetary exchange rate model: A panel analysis

Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - 2011

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic...

Persistent link: https://www.econbiz.de/10010280799

The impact of real oil price on real effective exchange rate: The case of Azerbaijan

Hasanov, Fakhri - 2010

Using quarterly data from 2000-2007 and applying Error Correction Model and Johansen Co-integration Approaches I estimate the impact of real oil price on the real exchange rate of Azerbaijani manat. Estimation outputs derived from these approaches are very close to each other and indicate that...

Persistent link: https://www.econbiz.de/10010285766

Business cycles, international trade and capital flows: Evidence from Latin America

Caporale, Guglielmo Maria; Girardi, Alessandro - 2012

This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within...

Persistent link: https://www.econbiz.de/10010289807

Does the nominal exchange rate regime affect the long Run properties of real exchange rates?

Dreger, Christian; Girardin, Eric - 2007

This paper examines whether the behaviour of the real exchange rate is associated with a particular regime for the nominal exchange rate, like fixed and flexible exchange rate arrangements. The analysis is based on 16 annual real exchange rates and covers a long time span, 1870-2006. Four...

Persistent link: https://www.econbiz.de/10010264984

The macroeconomic consequences of import tariffs and trade policy uncertainty

Boer, Lukas; Rieth, Malte - 2024

We estimate the macroeconomic effects of import tariffs and trade policy uncertainty in the United States, combining theory-consistent and narrative sign restrictions on Bayesian SVARs. We find mostly adverse consequences of protectionism. Tariff shocks are more important than trade policy...

Persistent link: https://www.econbiz.de/10014474963

Chinese renewable energy technology exports: The role of policy, innovation and markets

Cao, Jing; Groba, Felix - 2013

examines the development of solar PV and wind energy technology component (WETC) exports from China and the competitive …, which may drive export performance. We aim at empirically identifying determinants of Chinese solar PV and WETC exports. We …. We show that trade costs have a negative impact on exports of solar PV components but not WETC. Additionally, we find a …

Persistent link: https://www.econbiz.de/10010290962

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 - 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/10010293966

Global and regional financial integration in emerging Asia: Evidence from stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2017

This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean...

Persistent link: https://www.econbiz.de/10011655329

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