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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

How stable are monetary models of the Dollar-Euro exchange rate? A time-varying coefficient approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009

Persistent link: https://www.econbiz.de/10010271135

How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009

Persistent link: https://www.econbiz.de/10010207061

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

Exchange rates and Markov switching dynamics

Cheung, Yin-Wong; Erlandsson, Ulf G. - 2004

This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data...

Persistent link: https://www.econbiz.de/10010261095

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

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

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

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

The PPP Hypothesis Revisited : Evidence Using a Multivariate Long-Memory Model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013

This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for … with the relative version of PPP …

Persistent link: https://www.econbiz.de/10014158955