currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … analysis of bilateral euro-based exchange rates, given the euro’s prominent role during the euro area sovereign debt crisis. …

those of bailouts. Furthermore, we demonstrate that the Euro depreciates significantly against the Yen and US Dollar … following general risk shocks in the euro area and only to a small extent following bailout shocks. The Pound Sterling is not … affected by any of these shocks. The Euro variability is, from the EMU perspective, mainly driven by shocks stemming from large …

exchange rate predictability by macroeconomic fundamentals. Finally, an economic evaluation of the different forecast models … an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high …-volatility periods. The biggest forecast improvements are obtained by modelling time variation in the volatilities of the innovations …

unit root and cointegration tests are criticized for their low power to detect rational bubbles that periodically collapse …

exports for a broad group of advanced economies. To this end, a panel cointegration analysis is conducted, augmented by a …