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article, we provide evidence suggesting a recent rise in the use of the dollar, and fall of the use in the euro, with similar …
Persistent link: https://www.econbiz.de/10012481057
interest rate in response to inflation and either the output or the unemployment gap, for the euro/dollar exchange rate with …
Persistent link: https://www.econbiz.de/10012460332
Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a …
Persistent link: https://www.econbiz.de/10012464487
This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985 … the Johansen (1988) and Stock-Watson (1993) procedures. We find that each percentage point in the US-Euro area …
Persistent link: https://www.econbiz.de/10012469891
nineties and the puzzling decline of the euro during its virtual existence to changes in the demand for deutschmarks in eastern … the dollar and the weakness of the euro reflect the prosperity of the US and the weakness of the European economy on both …
Persistent link: https://www.econbiz.de/10012470368
, euro area and UK data points to a substantial deviation from that invariance prediction: expectations of interest rate …
Persistent link: https://www.econbiz.de/10012479321
We examine the ability of existing and new factor models to explain the comovements of G10- currency changes, measured using the novel concept of "currency baskets", representing the overall movement of a particular currency. Using a clustering technique, we find a clear two-block structure in...
Persistent link: https://www.econbiz.de/10012479405
Financial Crisis (GFC). Applying the annual data of 58 countries, we confirm that countries that trade more with the US, euro … zone, UK, and Japan, and issue more debt denominated in the big four currencies (US dollar, euro, pound, yen) hoard more IR … economic factors. We also find that TARGET2 balances matter for the currency composition in the euro zone; commodity …
Persistent link: https://www.econbiz.de/10012479884
-factor model. We identify them as a dollar factor and a euro factor. Exchange rates are thus driven by global, US, and Euro …
Persistent link: https://www.econbiz.de/10012453985
The paper explores empirically the tight links between exchange rates and the global network of equity holdings. Exchange rates can be expressed in terms of "equity net currency supplies", i.e. local currency stock market capitalization minus equity holdings, denominated in investors'...
Persistent link: https://www.econbiz.de/10015072944