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The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR

Arratibel, Olga - 2014

This paper follows the Bayesian time-varying VAR approach with stochastic volatility developed by Primiceri (2005), to …

Persistent link: https://www.econbiz.de/10013060040

Boosting Carry with Equilibrium Exchange Rate Estimates

Rubaszek, Michał; Beckmann, Joscha; Ca'Zorzi, Michele; … - 2022

We build currency portfolios based on the paradigm that exchange rates slowly converge to their equilibrium to highlight three results. First, this property can be exploited to build profitable portfolios. Second, the slow pace of convergence at short-horizons is consistent with the evidence of...

Persistent link: https://www.econbiz.de/10014239531

Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR

Bussière, Matthieu - 2011

, the paper applies a newly developed methodology based on infinite VAR theory featuring a dominant unit to a large set of …

Persistent link: https://www.econbiz.de/10013130602

The Predictive Power of Equilibrium Exchange Rate Models

Ca'Zorzi, Michele - 2020

In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...

Persistent link: https://www.econbiz.de/10012844460

Bid-to-Cover and Yield Changes Around Public Debt Auctions in the Euro Area

Beetsma, Roel - 2017

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

Persistent link: https://www.econbiz.de/10012956251

Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common factors

Alessi, Lucia - 2009

heteroskedastic. After presenting the model, we propose a multi-step estimation technique which combines asymptotic principal … results in order to assess the finite sample properties of the estimation technique. Finally, we carry out two empirical … volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …

Persistent link: https://www.econbiz.de/10013154951

Macroeconomic Uncertainty and the Impact of Oil Shocks

Van Robays, Ine - 2014

production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times …

Persistent link: https://www.econbiz.de/10013065408

The Exchange Rate, Asymmetric Shocks and Asymmetric Distributions

Demian, Vlad - 2015

The elasticity of exports to exchange rate fluctuations has been the subject of a large literature without a clear consensus emerging. Using a novel sector level dataset based on firm level information, we show that exchange rate elasticities double in size when the country and sector specific...

Persistent link: https://www.econbiz.de/10013020655

Exchange Rate Forecasting on a Napkin

Ca'Zorzi, Michele - 2018

This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...

Persistent link: https://www.econbiz.de/10012918409

On the Credit and Exchange Rate Channels of Central Bank Asset Purchases in a Monetary Union

Darracq Pariès, Matthieu - 2019

Through the euro area crisis, financial fragmentation across jurisdictions became a prime concern for the single monetary policy. The ECB broadened the scope of its instruments and enacted a series of non-standard measures to engineer an appropriate degree of policy accommodation. The...

Persistent link: https://www.econbiz.de/10012889467