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Exchange rates and fundamentals
Engel, Charles; West, Kenneth David - 2003
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...
Persistent link: https://www.econbiz.de/10009635953
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Unemployment, hysteresis and transition
León-Ledesma, Miguel; McAdam, Peter - 2003
We quantify the degree of persistence in unemployment rates of transition countries using a variety of methods benchmarked against the EU. In part of the paper, we work with the concept of linear u0093Hysteresisu0094 as described by the presence of unit roots in unemployment. Since this is...
Persistent link: https://www.econbiz.de/10009635980
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Comparing economic dynamics in the EU and CEE accession countries
Süppel, Ralph - 2003
This paper presents evidence for structural differences in economic growth dynamics between the current EU and the central- and eastern European accession countries. Two important results emerge from the analysis. First, accession countries have posted higher average growth and wider output...
Persistent link: https://www.econbiz.de/10009635910
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Towards the estimation of equilibrium exchange rates for CEE acceding countries
Maeso-Fernandez, Francisco; Osbat, Chiara; Schnatz, Bernd - 2004
This paper provides a discussion of methodological issues relating to the estimation of the long-run relationship …-step strategy that consists of estimating the relationship between exchange rates and economic fundamentals in a panel cointegration …
Persistent link: https://www.econbiz.de/10009639407
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evidence from a panel data analysis
De Ávila, Diego Romero; Strauch, Rolf - 2003
In Lisbon the European Council proclaimed a European growth strategy. It considers an average economic u0093growth rate of around 3 percent as a realistic prospect for the coming yearsu0094 and assigns public finances an important role in the process of achieving this goal. This paper addresses...
Persistent link: https://www.econbiz.de/10009635955
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Exchange rate risks and asset prices in a small open economy
Derviz, Alexis - 2004
The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co … comparison of models allowing for an independent OF risk factor with a restricted one, where the forex order flow plays no role …
Persistent link: https://www.econbiz.de/10009636537
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Fundamentals and joint currency crises
Hartmann, Philipp; Straetmans, Stefan; Vries, Casper de - 2004
In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or...
Persistent link: https://www.econbiz.de/10009636547
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Non-fundamental exchange rate volatility and welfare
Straub, Roland; Tchakarov, Ivan - 2004
We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...
Persistent link: https://www.econbiz.de/10009636551
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Modelling inflation in the euro area
Jansen, Eilev S. - 2004
The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...
Persistent link: https://www.econbiz.de/10009636545
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International risk-sharing and the transmission of productivity shocks
Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2004
A central puzzle in international finance is that real exchange rates are volatile and, in stark contradiction to … the international transmission of productivity improvements generate the observed degree of risk-sharing: one associated … transmission pattern, questioning the presumption that terms-of-trade movements foster international risk-pooling. …
Persistent link: https://www.econbiz.de/10009636531