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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector … errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of …
Persistent link: https://www.econbiz.de/10011302148
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Exchange rate pass-through to import prices in Europe : a panel cointegration approach
Arsova, Antonia - 2019
This paper takes a panel cointegration approach to the estimation of short- and long-run exchange rate pass … establish. Resorting to novel tests for panel cointegration, we find support for the equilibrium relationship hypothesis …
Persistent link: https://www.econbiz.de/10011974808
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Home bias, transactions costs, and prospects for the Euro : a more detailed analysis
Mann, Catherine L.; Meade, Ellen E. - 2002
This paper brings together the literature on determination of home bias in equity holdings and the portfolio balance model of exchange rates to consider whether the dollar might be affected by a change in transactions costs that alters international portfolio allocations. The empirical findings...
Persistent link: https://www.econbiz.de/10010503711
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ECB monetary policy and commodity prices
Aliyev, Shahriyar; Kočenda, Evžen - 2020
We analyze the impact of the ECB monetary policies on global aggregate and sectoral commodity prices using monthly data from January 2001 till August 2019. We employ a SVAR model and assess separately period of conventional monetary policy before global financial crisis (GFC) and unconventional...
Persistent link: https://www.econbiz.de/10012200289
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Exchange rates and political uncertainty : the Brexit case
Manasse, Paolo; Moramarco, Graziano; Trigilia, Giulio - 2020
This paper studies the impact of political risk on exchange rates. We focus on the Brexit Referendum as it provides a natural experiment where both exchange rate expectations and a time-varying political risk factor can be measured directly. We build a simple portfolio model which predicts that...
Persistent link: https://www.econbiz.de/10012158993
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Measuring Long-Run Exchange Rate Pass-Through
de Bandt, Olivier - 2011
test for cointegration with the possibility of structural breaks and show how the long-run may be restored in the … starting in 2001 helps restore a long run cointegration relationship, where over the sample period the fixed component of the …
Persistent link: https://www.econbiz.de/10013132423
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Measuring Long-Run Exchange Rate Pass-Through
de Bandt, Olivier - 2010
test for cointegration with the possibility of structural breaks and show how the long-run may be restored in the … starting in 2001 helps restore a long run cointegration relationship, where over the sample period the fixed component of the …
Persistent link: https://www.econbiz.de/10013136879
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Measuring Long-Run Exchange Rate Pass-Through
de Bandt, Olivier - 2011
ignored in existing empirical studies. We use time series and up-to-date panel data techniques to test for cointegration with … run cointegration relationship, where over the sample period the fixed component of the pass-through decreased while the …
Persistent link: https://www.econbiz.de/10013132131
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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be … adjustment to the long-run equilibrium. -- foreign exchange market ; market efficiency ; cointegration …
Persistent link: https://www.econbiz.de/10003582754
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What Drives Investors' Behaviour in Different FX Market Segments? A Var-Based Return Decomposition Analysis
Castrén, Olli; Osbat, Chiara; Sydow, Matthias - 2021
We apply the Campbell-Shiller return decomposition to exchange rate returns and fundamentals in a stationary panel vector autoregression framework. The return decomposition is then used to analyse how different investor segments react to news as captured by the different return components. The...
Persistent link: https://www.econbiz.de/10013317302