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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric; Schnabl, Gunther - 2006
While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized...
Persistent link: https://www.econbiz.de/10011604696
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How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices
Lünnemann, Patrick; Mathä, Thomas Y. - 2004
This paper analyses the degree of inflation persistence in the EU15, the euro area and each of its member states using disaggregate price indices from the Harmonised Index of Consumer Prices. Our results reveal substantial heterogeneity across countries and indices. The overall results, based on...
Persistent link: https://www.econbiz.de/10011604461
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An international analysis of earnings, stock prices and bond yields
Durré, Alain; Giot, Pierre - 2005
This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First,...
Persistent link: https://www.econbiz.de/10011604561
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Exchange rate pass-through to trade prices: the role of non-linearities and asymmetries
Bussière, Matthieu - 2007
A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric, implying that (a) large and small exchange rate changes and (b) appreciations and depreciations have an effect of the same magnitude, proportionally. This paper tests these...
Persistent link: https://www.econbiz.de/10011604868
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Modelling Ireland’s exchange rates: from EMS to EMU
Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2007
to 2003. It offers an overview of the theory of purchasing power parity (PPP), focusing particularly on likely sources of … exchange rates are effectively modelled, and in the case of Ireland and Germany, PPP is found to be valid not only in the long …
Persistent link: https://www.econbiz.de/10011604869
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Are there oil currencies? The real exchange rate of oil exporting countries
Habib, Maurizio Michael; Kalamova, Margarita Manolova - 2007
This paper investigates whether the real oil price has an impact on the real exchange rates of three main oil-exporting countries: Norway, Russia and Saudi Arabia. We create our measure of the real effective exchange rates for Norway and Saudi Arabia (1980-2006) and for Russia (1995-2006),...
Persistent link: https://www.econbiz.de/10011604885
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Modelling Ireland's Exchange Rates : From EMS to EMU
Bond, Derek - 2007
to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of … exchange rates are effectively modelled, and in the case of Ireland and Germany, Ppp is found to be valid not only in the long …
Persistent link: https://www.econbiz.de/10012775859
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Exchange Rate Pass-Through to Trade Prices : The Role of Non-Linearities and Asymmetries
Bussière, Matthieu - 2007
A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric, implying that (a) large and small exchange rate changes and (b) appreciations and depreciations have an effect of the same magnitude, proportionally. This paper tests these...
Persistent link: https://www.econbiz.de/10012775955
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Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries
Habib, Maurizio Michael; Kalamova, Margarita M. - 2021
This paper investigates whether the real oil price has an impact on the real exchange rates of three main oil-exporting countries: Norway, Russia and Saudi Arabia. We create our measure of the real effective exchange rates for Norway and Saudi Arabia (1980-2006) and for Russia (1995-2006),...
Persistent link: https://www.econbiz.de/10013316726
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Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?
Peltonen, Tuomas A.; Popescu, Adina; Sager, Michael - 2009
exchange rates from levels implied by Purchasing Power Parity (PPP) are very persistent. Empirical efforts to explain this … differentials that drive equilibrium exchange rates away from levels implied by PPP, or the presence of non-linearities in the … adjustment process around PPP. By contrast, we combine these two explanations in the context of an innovative panel estimation …
Persistent link: https://www.econbiz.de/10011605119