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Cross-section dependence and the monetary exchange rate model – A panel analysis

Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - In: The North American Journal of Economics and Finance 23 (2012) 1, pp. 38-53

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/10010886092

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

Beckmann, Joscha - In: The North American Journal of Economics and Finance 24 (2013) C, pp. 176-190

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. This paper as a first step applies a...

Persistent link: https://www.econbiz.de/10010617253

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

Beckmann, Joscha; Czudaj, Robert - In: The North American Journal of Economics and Finance 24 (2013) C, pp. 208-222

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/10010617247