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Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

Beckmann, Joscha; Czudaj, Robert - 2013

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10009771139

The impact of uncertainty on professional exchange rate forecasts

Beckmann, Joscha; Czudaj, Robert - 2016

uncertainty as well as disagreement among CPI inflation forecasters to account for different dimensions of uncertainty. Based on a …

Persistent link: https://www.econbiz.de/10011532311

Gold as an inflation hedge in a time-varying coefficient framework

Beckmann, Joscha; Czudaj, Robert - 2012

This study analyzes the question whether gold provides the ability of hedging against inflation from a new perspective …: First, we show that gold is partially able to hedge future inflation in the long-run and this ability is stronger for the … characterized by regime-dependence, implying that the usefulness of gold as an inflation hedge for investors crucially depends on …

Persistent link: https://www.econbiz.de/10009580064

How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009

This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....

Persistent link: https://www.econbiz.de/10003877676

Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices

Beckmann, Joscha - 2011

Although the literature on purchasing power parity (PPP) is rich in controversy, the relative contribution of prices and nominal exchange rates to real exchange rate movements which restore PPP disequilibria has rarely been put under any close scrutiny. Using monthly data from 1973:01 to 2009:12...

Persistent link: https://www.econbiz.de/10009580305

Effective exchange rates, current accounts and global imbalances

Beckmann, Joscha; Czudaj, Robert - 2016

This study analyzes the dynamics between real effective exchange rates and current accounts from a novel perspective. We start by dissecting long-run and time-varying short-run dynamics as well as causalities between both variables. Following this, we extend our framework by including short-term...

Persistent link: https://www.econbiz.de/10011440876

Foreign exchange market interventions and the $-Yen exchange rate in the long run

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013

This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is...

Persistent link: https://www.econbiz.de/10009779186

Cross-section dependence and the monetary exchange rate model : a panel analysis

Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - 2011

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic...

Persistent link: https://www.econbiz.de/10009124360

Exchange rate pass-through into German import prices : a disaggregated perspective

Beckmann, Joscha; Belke, Ansgar; Verheyen, Florian - 2013

This study analyzes the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyze data for different product categories, and also...

Persistent link: https://www.econbiz.de/10009771153

Gold price forecasts in a dynamic model averaging framework : have the determinants changed over time?

Baur, Dirk G.; Beckmann, Joscha; Czudaj, Robert - 2014

, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is …

Persistent link: https://www.econbiz.de/10010417235