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How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....
Persistent link: https://www.econbiz.de/10010265822
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How stable are monetary models of the Dollar-Euro exchange rate? A time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....
Persistent link: https://www.econbiz.de/10010271135
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How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....
Persistent link: https://www.econbiz.de/10010207061
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Should We Trust in Leading Indicators? Evidence from the Recent Recession
Drechsel, Katja; Scheufele, Rolf - 2010
The paper analyzes leading indicators for GDP and industrial production in Germany. We focus on the performance of single and pooled leading indicators during the pre-crisis and crisis period using various weighting schemes. Pairwise and joint significant tests are used to evaluate single...
Persistent link: https://www.econbiz.de/10010271403
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Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries
Qin, Duo - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-7, pp. 1-26
bilateral-model based, goods-market specific purchasing power parity (PPP) hypothesis. Under this approach, PPP is embedded in … for five OECD countries using monthly data suggest that the extant finding of insignificant PPP using similar data should …
Persistent link: https://www.econbiz.de/10010295305
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Modelling Ireland’s exchange rates: from EMS to EMU
Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2007
to 2003. It offers an overview of the theory of purchasing power parity (PPP), focusing particularly on likely sources of … exchange rates are effectively modelled, and in the case of Ireland and Germany, PPP is found to be valid not only in the long …
Persistent link: https://www.econbiz.de/10011604869
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Modelling Ireland's exchange rates: From EMS to EMU
Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2007
to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of … exchange rates are effectively modelled, and in the case of Ireland and Germany, Ppp is found to be valid not only in the long …
Persistent link: https://www.econbiz.de/10010272367
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Uncover latent PPP by dynamic factor error correction model (DF-ECM) approach: Evidence from five OECD countries
Qin, Duo - 2006
This study measures purchasing power parity (PPP) by means of the dynamic-factor errorcorrection model (DF …-ECM) approach. Under this new approach, PPP is embedded in latent disequilibrium factors, which are extracted from a large variable … the common belief that PPP is at best a very long-run relationship at the macro level. …
Persistent link: https://www.econbiz.de/10010284224
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Modelling Ireland's exchange rates : from EMS to EMU
Bond, Derek (contributor); Harrison, Michael J. (contributor) - 2007
to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of … exchange rates are effectively modelled, and in the case of Ireland and Germany, Ppp is found to be valid not only in the long …
Persistent link: https://www.econbiz.de/10003616696
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Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
Herwartz, Helmut; Reimers, Hans-Eggert - 2001
We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...
Persistent link: https://www.econbiz.de/10009616784