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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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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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Price dividend ratio and long-run stock returns: A score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012422031
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012842441
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Macroeconomic implications of oil price fluctuations: A regime-switching framework for the euro area
Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017
We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...
Persistent link: https://www.econbiz.de/10011853307
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Exchange rate forecasting on a napkin
Ca' Zorzi, Michele; Rubaszek, Michał - 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/10011916855
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The Predictive Power of Equilibrium Exchange Rate Models
Ca' Zorzi, Michele - 2020
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 forecast accuracy. The PPP model offers little economic insights, but … better quality than PPP. The MB approach has the most appealing economic interpretation, but performs poorly in forecasting …
Persistent link: https://www.econbiz.de/10012844460
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Real Exchange Rates and International Co-Movement : News-Shocks and Non-Tradable Goods with Complete Markets
Lambrias, Kyriacos - 2016
We propose a fully flexible, complete-market model of the international business cycle that is consistent with two major empirical facts: positive cross-country co-movement of economic aggregates and a negative correlation between the real exchange rate and relative consumption (the Backus-Smith...
Persistent link: https://www.econbiz.de/10012984300
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Measuring the Effectiveness of Cost and Price Competitiveness in External Rebalancing of Euro Area Countries : What Do Alternative HCIs Tell Us?
Christodoulopoulou, Styliani - 2014
This study examines the marginal effects of traditional determinants of exports and imports with a focus on the role of price competitiveness in restoring external balances. It is a first attempt to compare marginal effects of various harmonised competitiveness indicators (HCIs) on both exports...
Persistent link: https://www.econbiz.de/10013047096
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Methodological Advances in the Assessment of Equilibrium Exchange Rates
Bussière, Matthieu - 2010
This paper reviews three different concepts of equilibrium exchange rates that are widely used in policy analysis and constitute the backbone of the IMF CGER assessment: the Macroeconomic Balance, the External Sustainability and the reduced form approaches. We raise a number of econometric...
Persistent link: https://www.econbiz.de/10013149063