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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets

Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146

the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …

Persistent link: https://www.econbiz.de/10012619980

Sectoral exchange rate pass-through in the euro area

Osbat, Chiara; Sun, Yiqiao; Wagner, Martin - 2021

We study exchange rate pass-through (ERPT), i.e., the impact of exchange rate movements on inﬂation, focusing on euro area import prices at a sectorally disaggregated level. Our estimation strategy is based on VAR-X models, thus incorporating both endogenous and exogenous explanatory...

Persistent link: https://www.econbiz.de/10012745349

Bierens' and Johansen's method: Complements or substitutes?

Wagner, Martin - 1999

The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …

Persistent link: https://www.econbiz.de/10010291926

Cointegration analysis with state space models

Wagner, Martin - 2010

This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …

Persistent link: https://www.econbiz.de/10010294007