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Exchange Rate Dynamics : Where is the Saddle Path?

Cheung, Yin-Wong; Gardeazabal, Javier; Vázquez, Jesús - 2021

related overshooting behavior. Using a bivariate system, the paper illustrates the relationship of the cointegration, saddle … saddle-path behavior from cointegration dynamics. Using monthly data from five major industrial countries, we find that … exchange rates and prices are cointegrated. The cointegration result casts doubt on the use of saddle-path dynamics and the …

Persistent link: https://www.econbiz.de/10013319467

Pricing-to-market effects in foreign trade prices : evidence from a cointegration approach for Germany

Stephan, Sabine (contributor) - 2005

The article analyses the impact of exchange rate changes on German export and import prices. The analytical framework is a mark-up model which is based on the assumption that the markets under consideration are imperfectly competitive as well as segmented. Hence, firms will no longer set prices...

Persistent link: https://www.econbiz.de/10003744526

What drives housing prices down? Evidence from an international panel

Kholodilin, Konstantin Arkadievich; Menz, Jan-Oliver; … - 2007

In this study, we suggest an explanation for the alarmingly low growth rates of real housing prices in Canada and Germany in comparison to other OECD countries over 1975-2005. We show that the long-run development of housing markets is determined by real disposable per capita income, real...

Persistent link: https://www.econbiz.de/10010324252

Immobilienkrise?: Warum in Deutschland die Preise seit Jahren stagnieren

Kholodilin, Konstantin A.; Menz, Jan-Oliver; … - In: DIW Wochenbericht 75 (2008) 17, pp. 214-220

Die derzeitigen Turbulenzen auf den Immobilienmärkten in Ländern wie den USA und Spanien verstellen den Blick auf die längerfristige Entwicklung der realen Immobilienpreise. Während sie in den vergangenen Jahren in vielen westlichen Industrieländern deutlich anzogen, stagnieren sie...

Persistent link: https://www.econbiz.de/10011601808

Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate

Reitz, Stefan - 2002

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...

Persistent link: https://www.econbiz.de/10010295734

McCallum rules, exchange rates, and the term structure of interest rates

Diez de los Rios, Antonio - 2008

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to...

Persistent link: https://www.econbiz.de/10010279999

Central bank intervention and exchange rate expectations : evidence from the daily DM/US-Dollar exchange rate

Reitz, Stefan - 2002

Persistent link: https://www.econbiz.de/10011431685

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...

Persistent link: https://www.econbiz.de/10010292792

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …

Persistent link: https://www.econbiz.de/10009725481

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

Persistent link: https://www.econbiz.de/10001736255

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