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The importance of accounting for time trends when estimating the Euro effect on trade

Bun, Maurice J. G.; Klaassen, Franc - 2004

To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … euro is only present at the end of the sample, this may have led to an upward bias in existing euro estimates to help … have different effects across country-pairs. Data on industrialized countries over 1967-2002 show the existing euro effects …

Persistent link: https://www.econbiz.de/10011334328

Model-free measurement of exchange market pressure

Klaassen, Franc; Jager, Henk - 2006

If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....

Persistent link: https://www.econbiz.de/10011350376

Does the euro make a difference? : spatio-temporal transmission of global shocks to real effective exchange rates in an infinite VAR

Bussière, Matthieu; Chudik, Alexander; Mehl, Arnaud - 2011

This paper provides evidence on whether the creation of the euro has changed the way global turbulences affect euro … area and other economies. Specifically, it considers the impact of global shocks on the competitiveness of individual euro … over 60 countries.real effective exchange rates, including those of the individual euro area economies, and compares …

Persistent link: https://www.econbiz.de/10008901483

Getting beyond carry trade : what makes a safe haven currency?

Habib, Maurizio Michael; Stracca, Livio - 2011

There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...

Persistent link: https://www.econbiz.de/10008901495

Estimating and analysing currency options implied risk-neutral density functions for the largest new EU member states

Castrén, Olli (contributor) - 2005

, Czech Republic and Hungary vis-à-vis the euro and the US dollar to estimate the risk-neutral density (RND) functions and the …

Persistent link: https://www.econbiz.de/10002814277

Determinants of the euro real effective exchange rate : a BEER/PEER approach

Maeso-Fernandez, Francisco; Osbat, Chiara; Schnatz, Bernd - 2001

Persistent link: https://www.econbiz.de/10001636942

The importance of accounting for time trends when estimating the euro effect on trade

Bun, Maurice J. G.; Klaassen, Franc - 2003

Persistent link: https://www.econbiz.de/10001884126

Quantifying productivity gains from foreign investment

Fons-Rosen, Christian; Kalemli-Ozcan, Sebnem; … - 2013

Persistent link: https://www.econbiz.de/10009756315

Measuring financial market integration over the long run : is there a u-shape?

Volosovych, Vadym - 2011

Using long time series for sovereign bond markets of fifteen industrialized economies from 1875 to 2009, I find that financial market integration by the end of the 20th century was higher than in earlier periods and exhibited a J-shaped trend with a trough in the 1920s. The main reason for the...

Persistent link: https://www.econbiz.de/10011382994

Output growth and fluctuation : the role of financial openness

Popov, Alexander - 2011

I analyze output growth, volatility, and skewness as the joint outcomes of financial openness. Using an industry panel of 53 countries over 45 years, I find that financial openness increases simultaneously mean growth and the negative skewness of the growth process. The increase in output...

Persistent link: https://www.econbiz.de/10009354652