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In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...
Persistent link: https://www.econbiz.de/10010261316
In this paper we solve a particular type of stochastic process switching problem where the terminal date is fixed but the terminal price may depend on past prices. We apply this framework to the effect of various conversion modalities currently discussed on exchange rate dynamics in the...
Persistent link: https://www.econbiz.de/10005662330
In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...
Persistent link: https://www.econbiz.de/10013318288
There is thus a fundamental credibility issue about the willingness of the ECB to be a lender of last resort in the government bond markets. This will continue to make the eurozone a fragile construction. As a result, the possibility of a future euro crisis cannot be excluded.
Persistent link: https://www.econbiz.de/10013468417
We analyze the similarities and the differences in the fragility of the European Monetary System (EMS) and the Eurozone. We test the hypothesis that in the EMS the fragility arose from the absence of a credible lender of last resort in the foreign exchange markets while in the Eurozone it was...
Persistent link: https://www.econbiz.de/10011506763
This paper brings together several strands of the literature on the endogenous effects of monetary integration: i.e., whether sharing a single currency may set in motion forces bringing countries closer together. The start of EMU has spurred a new interest in this debate. Four areas are...
Persistent link: https://www.econbiz.de/10011604514
The sovereign debt crisis has made it clear that central banking is more than keeping inflation low. Central banks are also responsible for financial stability. An essential tool in maintaining financial stability is provided by the capacity of the central bank to be the lender of last resort in...
Persistent link: https://www.econbiz.de/10010286043
This paper contributes to the literature on the differences in the transmission processes within Euroland. We start from the proposition that there are 'deep' differences in the nature of social conflicts and in the way countries deal with these conflicts. We empirically test this effect for the...
Persistent link: https://www.econbiz.de/10005504757
The nature of fiscal policies was changed dramatically by the creation of the Eurozone. While prior to the start of the Eurozone, national governments were sovereign in that they could back up the issue of debt by the issue of money, they lost this sovereignty in the Eurozone. This had dramatic...
Persistent link: https://www.econbiz.de/10010786712
According to the Maastricht Treaty, EMS countries will be able to join EMU if their inflation rates are not more than 1.5% higher than the average of the three lowest inflation rates in the EMS. In this paper I analyse the likelihood of inflation rates converging to the levels set out in the...
Persistent link: https://www.econbiz.de/10005067457