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Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters

Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - 2011

general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective … trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit … Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the …

Persistent link: https://www.econbiz.de/10010285496

Exchange-rate misalignments in duopoly: the case of Airbus and Boeing

Bénassy-Quéré, Agnès; Fontagné, Lionel; Raff, Horst - 2009

We examine the effect of exchange-rate misalignments on competition in the market for large commercial aircraft. This market is a duopoly where players compete in dollar-denominated prices while one of them, Airbus, incurs costs mostly in euros. We construct and calibrate a simulation model to...

Persistent link: https://www.econbiz.de/10010263548

The dynamic impact of FX interventions on financial markets

Menkhoff, Lukas; Rieth, Malte; Stöhr, Tobias - 2020

Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...

Persistent link: https://www.econbiz.de/10012180926

Trend growth and learning about monetary policy rules in a two-block world economy

Schaling, Eric; Tesfaselassie, Mewael F. - 2013

of openness and growth on determinacy and learnability of worldwide rational expectations equilibria we develop a two …-country New Keynesian model with growth. We analyze these issues for contemporaneous data and expectations-based monetary policy … expectations-based policy rule the conditions for determinacy and learnability also become more stringent on account of openness …

Persistent link: https://www.econbiz.de/10010292721

Exchange rates in target zones: Evidence from the Danish Krone

Reitz, Stefan; Taylor, Mark P. - 2013

Although the ERM II rules allow the Danish krone to fluctuate against the euro within an official target zone of 4.5%, most of the time the exchange rate has remained in a narrow range around its unconditional mean. Estimating a Smooth Transition Autoregression Target Zone (STARTZ) model...

Persistent link: https://www.econbiz.de/10010292728

Cointegration Analysis in an Inflationary Environment: What Can We Learn from Ukraine's Nominal Exports?

Strauß, Hubert - 2001

Ukrainian exports can be explained by standard demand theory in the long run. Using the Johansen procedure the data do not reject the hypothesis of a unit foreign-production elasticity of Ukrainian exports, which are rather price-elastic inputs for foreign producers. It is argued that due to...

Persistent link: https://www.econbiz.de/10010261675

Die Bedeutung monetärer Größen für die deutsche Wachstumsschwäche 1995 -2005

Dovern, Jonas; Jannsen, Nils; Scheide, Joachim - 2009

Between 1995 and 2005, the German economy has experienced a phase of weak economic growth. We analyze whether this weak growth performance can be attributed to the stance of monetary conditions during that period. We show that the real effective exchange rate did have almost no dampening effects...

Persistent link: https://www.econbiz.de/10010263552

Sectoral R&D intensity and exchange rate volatility: a panel study for OECD countries

Mahagaonkar, Prashanth; Schweickert, Rainer; Chavali, … - 2009

A recent literature has pointed at potential negative effects of exchange rate volatility on innovation. In this paper, we propose that there may be a direct effect as well as an indirect effect via export activity. We test these hypotheses for sectoral R&D intensities using OECD panel data for...

Persistent link: https://www.econbiz.de/10010265242

Predicting real exchange rates from real interest rate differentials and net foreign asset stocks: evidence for the mark/dollar parity

Meier, Carsten-Patrick - 1999

When nontraded goods prices are accounted for consistently and genuine stock data on bilateral foreign asset holdings is employed, a modified sticky-price exchange rate model by far outperforms the benchmark random walk-model in empirically forecasting the D-mark/dollar parity out of sample....

Persistent link: https://www.econbiz.de/10010265449

Adaptive forecasting of exchange rates with panel data

Morales-Arias, Leonardo; Dross, Alexander - 2010

This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic 'fundamentals', (ii) return/volatility of asset markets and (iii)...

Persistent link: https://www.econbiz.de/10010271612