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Drivers of exchange rate dynamics in selected CIS countries: Evidence from a FAVAR analysis

Dreger, Christian; Fidrmuc, Jarko - 2010

We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the last dec-ade (1999-2010). Evidence is based on country VARs augmented by a regional com-mon factor structure (FAVAR model). The models...

Persistent link: https://www.econbiz.de/10010291791

Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?

Dreger, Christian; Girardin, Eric - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2007

This paper examines whether the behaviour of the real exchange rate is associated with a particular regime for the nominal exchange rate, like fixed and flexible exchange rate arrangements. The analysis is based on 16 annual real exchange rates and covers a long time span, 1870-2006. Four...

Persistent link: https://www.econbiz.de/10004963762

Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?

Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008

The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...

Persistent link: https://www.econbiz.de/10004963984

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010

their associated volatility. Inclusion of the exchange rate allows approximate daily price effects to be captured. The … tourist arrivals, test whether alternative short and long run estimates of conditional volatility are sensitive to the … approximate long memory in the conditional mean, examine asymmetry and leverage in volatility, and examine the effects of temporal …

Persistent link: https://www.econbiz.de/10008489840

What Drives Heterogeneity in Foreign Exchange Rate Expectations: Deep Insights from a New Survey

Dreger, Christian; Stadtmann, Georg - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006

Foreign exchange rate expectations play a central role in virtually all monetary models for the open economy. Therefore, it is extremely important to gain empirical insights into the expectations formation process. In this paper, we use a unique disaggregated data set to model the expectations...

Persistent link: https://www.econbiz.de/10005068934

Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis

Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....

Persistent link: https://www.econbiz.de/10005069074

Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?

Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008

Persistent link: https://www.econbiz.de/10005069144

Between the Hammer and the Anvil: The Impact of Economic Sanctions and Oil Prices on Russia’s Ruble

Dreger, Christian; Kholodilin, Konstantin A.; Ulbricht, Dirk - In: Journal of Comparative Economics 44 (2016) 2, pp. 295-308

Western countries. However, as Russia is heavily dependent on natural resource exports, another factor behind the …, unanticipated sanctions matter for the conditional volatility of the variables involved. …

Persistent link: https://www.econbiz.de/10011886928

The Ruble between the hammer and the anvil: Oil prices and economic sanctions

Dreger, Christian; Fidrmuc, Jarko; Kholodilin, Konstantin; … - 2015

Western countries. However, as Russia is heavily dependent on exports of natural re-sources, the oil price decline starting in … sanctions matter for the conditional volatility of the variables involved. …

Persistent link: https://www.econbiz.de/10012148766

Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a Factor-Augmented Vector Autoregressive (FAVAR) Analysis

Dreger, Christian; Fidrmuc, Jarko - In: Emerging Markets Finance and Trade 47 (2011) 4, pp. 49-58

We investigate the likely sources of exchange rate dynamics in selected member countries of the Commonwealth of Independent States (CIS; Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2010). Evidence is based on country VARs augmented by a regional...

Persistent link: https://www.econbiz.de/10011514437